The first real book I ever read on my own; "real" in the sense of having a couple of hundred pages, not very many pictures, a plot, and some character development. I remember being puzzled by the switches between the everyday world and the fantasy world, and not understanding what was going on until about a third of the way through.
Then a clue came up which was too obvious to miss. He's in the magic city fighting the dragon... it's a
clockwork dragon... he has a clockwork dragon in the everyday world... aha! The fantasy world is his toys, and he ends up in it each night when he goes to sleep! It was terribly satisfying to have figured it out. OK, it wasn't exactly a killer insight, but I was only six; if I'd been a member of GoodReads at the time, I would have posted immediately. Since the Internet hadn't been invented yet, I've had to wait 44 years before getting around to it. Well, better late than never.
This reading thing was clearly a good idea. I decided I would check out some more books from the library, and see if they were equally interesting. Within a few months, I'd turned into an E. Nesbit completist. I still think she's pretty good.