Our response to art is directly proportional to our knowledge of it. In this sense, art is the opposite of popular entertainment, which becomes more insipid with greater familiarity. So study up. Even 10 minutes on Wikipedia can help orient you and fundamentally transform the experience...When visiting special exhibitions, always read the catalogue, or at least the main catalogue essay. If you can't afford the catalogue, read it in the gift shop.
I think this is terrible and expensive advice. I've bought some exhibition catalogs over the years, but always after a show, and never for the information. I bought them as mementos of the exhibit, as a way of reliving the experience. Read the text? What for? (My apologies to the writers).
Also read: Gallery and museum listings: May 25-31