Also related: Yudkowsky on making Solvable Mysteries:

If you have not called upon your readers explicitly to halt and pay attention, they are already reading the next sentence. Even if you do explicitly ask them to pay attention, they are already reading the next sentence. If you have your character think, “Hm… there’s something funny about that story, I should stop and think about that?” guess what your reader does next? That’s right, your reader goes on to read the next sentence immediately, to see what the character thinks about it.