I always watch an anime subbed first. That's because they are fan subbed. If the anime is good and needs more attention, as well as being released in other countries, I will buy the dvd and watch either dubbed or subbed at my own leisure.
I enjoy the original Japanese for all of the actual character in the voices. This is probably because the animation was made for Japanese audiences. Transferring it to English is like dubbing a KungFu. It doesn't matter how good the kungfu ends up being, sometimes the English voices throw you off the full feeling of what the characters are trying to represent.
Another problem I have is the sheer lack of voice talents that end up in dubbed anime. For some reason most women represented in dubbed anime have a high-pitched shrill voice. This may or may not work in the Japanese language, but it does not in English. It ends up making one's ears bleed. And every main character has to be dubbed by one of three people with the same exact character voice. Such as the guy who does Vash the Stampede. It would be nice if they made an attempt not to sound identical for every character they play.
On the other hand, if I rent anime, I watch it dubbed if I want to do something in the background. This way I can better follow the story as it is in my own language. I do not have to go through mental translation.
And then it depends on how well things are subbed/dubbed. Blueseed has some of the most boring Japanese dialogue. Only one character has character to her voice. (Sakura Yamazaki, for those who wonder and have seen the anime). So I prefer the dubbing with that one, though the dubbed Momiji makes me rake out my eardrums with icepicks. I also prefer the dubbing to Helsing as it was just done much better over all.