Finnegans Wake is probably the classical example. The latter books by William Gaddis also lose a lot (sometimes everything?) because they are so dependent on spoken American English. Cormac McCarthy is also sometimes hard to translate due to orality and some obscure language.

Part of the problem with Grande Sertão: Veredas is that it is has a very inventive, very oral aesthetics that is based on a local dialect and a culture that is unknown (except very superficially) to most of its readers even in Brazil. The burden on a translator to transfer all of that to the foreign reader is immense.