Like most other people, it varies for me!
I usually like to watch week-by-week as an anime is airing. One of the reasons is like Tay & InvertMouse mentioned - I used to be really into the fandom so it would be a lot of fun to review & chat about each episode as it came out. I also like the sense of anticipation, even though it can be frustrating!
However, there's some stuff I'd rather watch all at once, usually the shows that are longer than 24 eps. When I started watching Naruto it was out to about ep 80 or something, and I would watch 5-10 episodes a day when I had the time. With a show like that there's so little that actually happens in an episode that I feel like you need to watch a bunch together to actually see any plot progression.