I typically prefer slow buildups - I have no problem with a plot taking its time to 'get going' if I already have the faith that it will be worth my time - but FF VII did the immediate jump into the action so well that I can't honestly say I distinctly prefer one over the other.

I suppose a kind of mixture works best for me; something like FFX where you're shown the destruction caused by Sin several times firsthand but which otherwise takes its time to establish everything.