There are a lot of shitty dubs, but there are a lot of good ones too. I like to watch dubbed when it's a good dub, because I haven't completely mastered the art of paying attention to the subtitles, the cartoon, and the inflections in the audio as well as the music, all at the same time. I can kind of do it with SoLs like Lucky Star or whatever, because nothing much is happening visually so I can be sure nothing is really changing while I'm reading, but I still miss things and it gets tiring after a while because it's a very active experience (which I like, don't get me wrong) because the Lucky Star girls or whoever never ever stop talking. I can watch Bleach either way. Death Note has shitty dubs, and I can watch that subbed pretty easily. Miyazaki stuff I can't really focus on with subs, and all of them are brilliantly dubbed so I do that with those. I could go through every single anime like this, but basically what it comes down to is, it really depends on what kind of anime it is and how good the dubs are.
EDIT:
Also, sometimes it's not even about sub vs dub, it's about the fact that they changed the actual anime to make the english version. Take Cardcaptor Sakura for example. When they made the english version, they took out entire scenes, skipped entire episodes, reordered episodes, and rewrote entire dialogues. Cardcaptor Sakura is one of my favorite anime's ever, while Cardcaptors, the dubbed version, sucks balls. In that case, subs please. They did exactly the same thing with Naruto, which is a big reason why everyone thinks that show is shit.
EDIT 2:
I guess, now that I've thought about it, subbed. And then dubbed, if it works out like that. But I would never see an anime in english if I hadn't already seen it in japanese, or if I wasn't planning to. So yeah.