Sub by far. There are so many reasons why sub is superior as opposed to dub. This applies to all forms of visual media.
Language of origin is important. Dubs can take away from that and can even make some things make little sense. Things like puns or word games can at least be explained in subtitles, but in dubs you are screwed. Original voices that actually match the mouthes of the characters also helps.
Most importantly however is that it is how the creator/director/makers originally intended it to be, and by replacing audio, you are in turn changing their original vision.
I'll admit that I have seen anime dubbed, who hasn't? But I make an effort to watch it in the language of origin.
The last time I watched a dubbed movie was in French class, when the teacher would put on an English, or once an Italian movie with a French dub, which is dumb because there are so many great French movies. Instead of showing us The Kite Runner or Life is Beautiful, show us La règle du jeu or Hiroshima, mon amour (which are fairly entry-level art house but are also quite good movies.) But I digress, no one wants to know about my High School French class.
I find it important to watch a movie in it's original language. Sure, sometimes for longer movies you might get a little tired of reading or if you are watching it super late you might get lost in the words (most recently for me: Sátántangó and The Hawks and the Sparrows respectively); but I think the payoff is worth it. Nonetheless, I don't even know if the two movies I just listed even have dubs.
Also, learning languages is neat; and actually starting to understand media of a different language then your primary is awesome. I can watch French movies without subtitles, and I am starting to pick up Japanese media as well.
If you watch dubs for whatever media for whatever reason, cool, I do think that there are benefits to doing so; but I personally am of the opinion that subs>dubs.