That varies from series to series for me. Gurren Lagann, for example, I watched with subs. I didn't even know a dub existed at first, and when I did check it out, I just wasn't as impressed. I really like a lot of the actors they used for it, but it just didn't live up to the sheer, screamin' levels of GAR that the original had. I don't know, maybe the Japanese voices are just the "right" ones in my head simply because I heard them first, but whatever the case, I usually go with subs. Exceptions include Kureyon Shin Chan, which was essentially totally rewritten for the English version. FLCL, too, which frankly does have better English voice actors, not to mention that it everything's much easier to follow when you aren't having to keep reading subtitles, something that is absolutely vital to this series. I also watched (or, rather, am currently watching) the English dub of Lucky☆Star, simply because I didn't really care either way, and comedy anime usually make more sense when put in one's own language. That, and I quite like a lot of the voices, especially that "balsamic vinegar!" guy. That is the freakin' weirdest/coolest voice ever. Unless, of course, a dub doesn't exist, like with Panty & Stocking. Still, though, even when the (recently announced) English dub is released, it will never have all of the gratuitous Engrish the original has; thus, no "GO CHACK GO".
Tl;dr, I really have no preference, I just choose whichever is generally held in a higher regard.