Epic Fantasy will almost always refer to a work that takes place in its own secondary world. There would be a lot of appropriate genre tags for Greek Epics, but Epic Fantasy ironically isn't one of them.

For books I want to remember well, I always take notes the next day about the section I read the previous day. This increases my retention by like 1000%.

I think doing the note-taking on different days is actually important for retention purposes.

If you want complicated, give Book of the New Sun and Urth of the New Sun by Gene Wolfe a go. There is absolutely no way you will catch even half of the background intricacies on a first read. I like to listen to analysis of stuff I like and I didn't realize most of the things they talk about, but everything they say makes perfect sense when you go back and think about the writing and narrative.

Gene Wolfe is one of the most highly regarded speculative fiction authors ever. I'm looking forward to continuing his lexicon.