Despair is pretty good. I've read almost all of Nabokov's works. I have maybe 3 of his novels left so I'm planning on finishing all of them by early next year. There is not a second part to the novel but in all honesty I don't think there needs to be. What's unique about Nabokov is he isn't very concerned with plot in almost all of his works. He wrote his pieces focusing mainly on aesthetic quality and appreciation, so he develops plot lines and characters based on how well they contribute to that goal and used them accordingly. That's why he spends so much time on setting up scenes and details. He's trying to make a fully realized world and reality in his books, regardless of the actual minutiae of what happens within them. What blows my mind about him is that in lesser hands, this lack of focus would be distracting or a failure but he makes it work. His best novels are heads and shoulders above other people's and even his less successful novels are pieces that most authors would be more than happy to have produced.
That said, he'll also place subtle hints, themes, and motifs to what happens to his characters after the story has ended that it is often difficult to notice upon a first reading. If you read Glory again, I'm sure you'll figure out the implied ending based on Martin's previous life and experiences.
I think what really blew me away with Glory was Nabokov's deft use of time in it. He always messes around with time and linearity, but this novel was insane in its technicality and flow.