It depends, really. I prefer demos but since the price of games is a little rough in this economic period I've been renting. If it's a game from a series I really enjoy I'll usually pick it up 6-9 months after it comes out, so I can get it used for a better price, and generally by then reviews have come out. If everyone hates the game, I feel better for having not bought it on day one.
I've never quite understood buying on Day One. It just means you're getting the same product faster for a much higher price than if you wait.