I've been listening to Neal Stephenson's Anathem (an 800 page doorstop in its printed form) while walking, and I have to say, it's been a rousing success.
There are certain aspects of the story that I know I am missing. Stephenson has invented some of the language, and I'm sure I'd be picking up nuances better if I could see the structure and spelling of the words. In fact, I'm tempted to borrow the printed version too, just so I could flip through and catch a few of the things I think I'm missing. The complexity of the story is begging for a timeline, glossary, and a map. I believe at least two of these can be found in the book.
Part of the reason I'm missing nuances is that listening to an audio book is a little like riding in a car instead of walking. When you read and you come upon a difficult or interesting bit, you can stop, digest it, read it over, puzzle over the words. Listening to an audio book, difficult or interesting bits just fly by. "I'll get the gist of it next time they mention it," you think to yourself. This is sometimes justifiable, like now, when I am "reading" a book that is the equivalent of Montana. Interesting and beautiful, but geez, just too big! (The book actually IS quite enjoyable, despite a tendency to wander off the main topic to explain some minutiae.)