I have read all of the Masters of Rome books. All of the WoT books up to book 9 (I am re-listening to books 1-11 on audio before reading Gathering Storm) and I am halfway through Brandon's first Mistborn book.
Masters of Rome by Colleen McCullough is one of the best historical series EVER written by anyone and absolutely the best novels about the late Republican period in rome EVER written (and I read alot of history). She deserves any award anyone can throw at her. They are also not really easy reads. There are insane numbers of characters(exponentially more than wheel of time), the romans all seem to have similiar names so its really hard to keep track (she is being historically accurate), plus the latin terms are hard to keep track of at first even with the appendix. Colleen McCullough is a genious. I do NOT say that lightly.
Wheel of Time is MUCH easier to read. The first book is the best fantasy book I have ever read. It is better than Mistborn (Brandon would agree so I am not trolling). It probably deserved a pullitzer prize consideration, but you don't get one for this genre.
Yes later books bog down and sort of get lost. Here is what I recommend.
Read or listen to the first 3 on tape. They are VERY good. You then will have a good enough idea of what is going on to jump to book 12. Use this website to help keep track of stuff.
http://www.encyclopaedia-wot.org/ That website is INCREDIBLY detailed.
There are also massive numbers of websites about the wheel of time and forums if you are unsure of what is going on.
There are also the WoT forums here. Brandon has a number of Q&A postings. Note that these are VERY detailed questions you won't get even on 1 read. Alot of them Brandon doesn't know the answer to and has to refer to Robert Jordan's assistant.
http://forums.dragonmount.comI HIGHLY recommend reading The Eye of the World. I am listening to all of them all over again on recorded books before reading The Gathering Storm. I read some of these books almost 20 years ago. I forgot how much I forgot.
BTW, I do like Mistborn. I like the Brandon just jumps into the action. I like his concise writing style also.