This just might be the best book I've read all year; in fact, I'm almost certain that it is. It's kind of the way I see API in my mind, except more grown up, and written in the kind of prose that I most admire - spare, elegant, deceptively transparent. Nothing seems forced, everything hangs together perfectly - it's real writing in a way that a lot of showy contemporary stuff doesn't get near.
Like What I Loved, it begins with a letter, this one found by middle-aged intellectuals Erik and Inga Davidsen as they go through their recently deceased father's effects and suggesting an illicit involvement of some kind with a mysterious woman, years ago. From there, it reveals itself to be a kind of character/milieu portrait which functions both 'horizontally' (that is, taking its subject-matter in cross-section, more or less at a point in time, albeit with a strong emphasis on historical shading-in of that present time) and 'linear-temporally' (in that it does have a reasonably strong forward drive, generated by the 'detective story' threads making up the narrative and by the characters' arcs.
My comments about A Plea for Eros and What I Loved (see above) at the time that I read them go some way to describing what it is about Sorrows that so appeals - in both thematic preoccupations and style, Hustvedt is just my type, even though her particular foreground subjects have little immediate pull for me. As far as modern literature goes, it doesn't come much better than this.