For me, it's not just anime. I prefer to watch any foreign film in it's original format with subtitles. To do it any other way doesn't make any sense to me. By the time it's available dubbed, I've more than likely already seen it subtitled and have the original voices attached to the characters, so I can't possibly take the dub seriously. It almost seems like a parody.

I will say that English dubs fail 99% of the time when it comes to comedy. It's probably just because I don't fully understand Japanese, but the standard hyper anime style comedy sounds ridiculous when shouted in English.