It mostly depends on the voice acting and dialogue. Some things said in anime, even shows I love to death, sound extremely retarded. SWORD OF JUSTICE I COMMAND THEEEE sounds a bit less absurd when you're reading it at the bottom of the screen rather than hearing it in a language you've known all your life. Death Note's Potato Chip incident is a good example of this. When I watched it subbed with gibberish audio, I was like "oh that's clever of him" but upon hearing "I'll take a potato chip...AND EAT IT" with a dramatic Latin choir in the background I died laughing. This is why I enjoy foreign music so much; bad lyrics can ruin a perfectly wonderful sounding song, but if you never understand them then you'll just go on in blissful ignorance. Censorship related atrocities such as the Sailor Moon dub will also make me prefer the sub, but this isn't as much as a problem these days. The same can be said for voice acting; dubbing is definitely taken more seriously now.

When non of the above are an issue, I prefer the dub. It's easier to pick up on subtleties in someone's voice when they're speaking a language you understand. And if you're watching something totally whacko like FLCL then you might actually have to pause in order to read what's being said.