In a sense, it would be far easier to say how the novels differ than to discuss in what ways they are similar.
One might be able to argue that both novels attack overreach and complacency on the part of the well-educated and intelligent who seek to push the boundaries of experience and knowledge without fully considering the consequences of their actions. Both novels have some form of framed narration, with fictional editors interposing themselves between the narrators and the readers. Both novels are quite sophisticated and allusive in their style and voice and aimed towards an educated readership. Both also, it can be argued, are satirical, attacking the sophisticated intellectual consensus of their respective periods.
The central figures of both novels are well-educated white European males who are obsessed with pursuing their own interests to a degree that leads them outside the boundaries of what is conventionally acceptable, often ignoring common sense and ethics in the pursuit of their obsessions. Both are often shown as hyper-rational. The least morally repugnant characters in both works are not the narrators or protagonists but rather the innocent bystanders, such as Justine and Elizabeth in Shelley's novel and to a degree Charlotte and Richard in Lolita (although Nabokov's work does not portray anyone in a favorable light, many readers might think that a woman who is married to a pedophile who is interested in seducing her daughter deserves some sympathy).
Another characteristic shared by the novels is the distortion of sexual relationships. Humbert and Clare are pedophiles; Lolita, a very deeply disturbed teenager. Although Victor himself is fairly conventional, the notion of creating a wife for the monster invokes the potential of a rather problematic relationship.