West's writing is a truly uncanny experience. You cannot look away. Once read, the characters watch with vacant expressions from the corners of your mind, forever. So much happens in these disorienting, trippy, and disturbing novels that can't possibly be communicated to any appropriate effect without reading them. The writing is surely "deft and lean", "echoing with no trace of other men's work", just as others have said.
Miss Lonelyhearts and Day of the Locusts are paced dramatically differently and mold to different tastes. I enjoyed reading Miss Lonelyhearts, especially the letters, but had a sick delight of a time with Day of the Locusts. I viciously enjoyed the scenery of Hollywood that West conjures. It's all so unsettling from the start with the paper houses to one of my favorite trippy scenes in a book,

chasing after Faye "on set" and the collapse of the false hill under the war

As for the endings...

Where Miss Lonelyhearts really wraps everything up in a tight package, although oh the suffering, we know it must go on... Day of the Locusts has an ending that will ITCH you forever if you can't stand not knowing what happens to our dear little cast.

I personally enjoyed both executions. 
I would recommend reading if you enjoy darker things written in the 30's. I found it very helpful to do a bit of research on the author and have some small background knowledge on historical LA especially. The themes are strong, and not very hopeful.

Taut writing smoothly guides the reader through some less than palatable scenarios and situations. Written with the slang of the time, you get some language and subject matter that may make a 21st century reader cringe, but it's largely in service to story and characterization. For me, Miss Lonelyhearts is the less accomplished piece, it hops a bit, the title character leaves you with little and caring less, although you do get a nice feel for what little was left to and for women at the time.

The Day of the Locust on the other hand would fit right along with Hemingway, Fitzgerald, or O'Hara on a syllabus. Depression era Hollywood here reminds me of modern day influencers, of reality and social media fame. Here are largely superficial and mean characters, loud, overbearing, interested in money and fame, on doing as little as possible, taking advantage of whoever and whatever they can. Then you have those who prop them up, often at a high cost to their own health and comfort. But all, it's made clear, part of a system, a great wheel, much bigger than they are, spinning them, dragging them along for the ride.