Royden is breathtakingly gorgeous. But,
it can be good to skip some parts.
The main content is just 'measure theory',
and that's just freshman calculus grown up.
Why? Because near 1900 it became clear that
freshman calculus was clumsy for some important
progress, especially cases of convergence of
functions.
Measure theory? Well, first cut, 'measure' is just
a grown up version of ordinary area. Simple.
Why interested in measure theory? Because want to
cook up a new way to do integration, that is, what
freshman calculus dues with the Riemann integral.
Recall, the Riemann integral partitions the X axis
and approximates the area under the curve with
tall, thin rectangles. Measure theory partitions
the Y axis: At first glance this seems a little
clumsy, but in the usual cases get the same number
for area under a curve and in bizarre cases, that
can get from converging functions, get a nice
answer that Riemann integration can't do.
Royden likes Littlewood's three principles, and
they are cute. So, spend an evening on them.
Yes, it's possible to use Littlewood's to do
the subject, but there is a better way, also
heavily in Royden, roughly called 'monotone
class arguments' -- which are gorgeous and turn
much of the whole book into something quite simple.
So, prove the theorem for indicator functions.
Then extend to simple functions by linearity.
Then extend to non-negative measurable functions by
a monotone sequence. Then extend to integrable
functions by linearity. Can knock off much of the
book this way, e.g., Fubini's theorem which
is just interchange of order of integration grown up.
The foundations of this
little four step process is Fatou's lemma,
the monotone convergence theorem, and the
dominated convergence theorem.
About 2/3rds of the way through Royden is
a single chapter that essentially compresses
much of the rest of the book -- I would have
to step into my library to find the chapter.
For the early exercises on upper and lower
semi-continuity, they are a bit much and
you likely won't see that topic again.
So that exercise can be skipped.
Royden is elegant beyond belief; if you still
have trouble finding the main themes, then
chat for an hour with a good math proof
who understand Royden well.
Then, don't miss the Radon-Nikodym theorem:
It can be seen as a grown up version of the
fundamental theorem of freshman calculus but, really,
is much, much better. The role of the Radon-Nikodym
theorem in 'modern' (i.e., Kolmogorov) probability
theory, stochastic processes, Markov processes,
martingales, etc. is astounding.
I'd agree with your assessment of Royden. Another fantastic book on Lebesgue Integration/Measure theory is Lebesgue Integration in Euclidean Spaces by Frank Jones. Fantastic textbook.