If I have an official DVD of a series (Gonzo box Set of Desert Punk, Bandai set of Cowboy Bebop, Geneon set of Ergo Proxy, etc.) I prefer watching the subs, because usually the producer is able to go over translations and get more of what the translation is supposed to be, across. If I'm watching a animated film (Howl's Moving Castle, Akira, GitS) I like dubs because I feel there is usually so much more going on in the movie that I don't think that I have time to watch subs, and I usually always miss something because I'm still reading something.
If I download a series, I usually try to find one that gives me both. If I don't like one, I have the other. And there is usually a good set for both in one anime (Gungrave sticks out for me; when I downloaded it I had a version that had both excellent subs and dubs).
So usually for me its just a matter of what I'm watching.