If a dub is done well, if it's engaging, well-written and well-performed, I'll watch that, if for no other reason than it allows me to look at the art instead of reading the subtitles, or giving me the ability to look away for a moment or two. I also do get more nuance out of a performance in a language I understand than one I can't.
That said, many dubs aren't up to snuff, and in those cases, subtitles are best. Moreover, with the occasionally over-the-top nature of anime, it's sometimes quite jarring to hear people shouting ridiculous battlecries, you hear it and automatically realize it sounds stupid, whereas with subs, you get the message and its emotion and intensity separately and combine them internally, providing a buffer for the more tonally dissonant dramatic elements.
Of course, I'm using this to refer to anime. For live-action foreign language films, I always do subtitles without exception, you're never going to get sound or a performance that matches up with a person doing their thing on camera.