I watch either, depending on the show. It's true that I often prefer to watch things in their native language, but there are certainly instances where I don't mind dubs when they're done nicely. My lame reason for defaulting to subs is that it reminds me of times with my sister, since she always preferred them to dubbing, and we'd watch anime together a lot. But like I said, as long as they are done nicely, I really don't mind either one. I remember some cases of pretty awful subs, though, and after that I found that while bad dubbing can get annoying and sometimes convey things in a completely different manner than the original, bad subtitles can also completely hinder the meaning of the translation. I've seen some that are so riddled with spelling errors that sometimes it's hard to understand what they were trying to say in the first place. I particularly like it in Pita-ten, which repeatedly used the word "anger" in place of "angel", which happened to be, well... kind of funny despite being an awful error. I also distinctly remember a time in an anime I can't remember that confused something like oven mitts and spatulas in the translation. I will say however that one thing I like about subs is that sometimes they can have notes out on the side of the screen to explain something cultural that could not be translated well to better help you grasp the original meaning (dunno if that's ever done in conjunction with dubs).
Anyhow, for me it's just on a situational basis - both can be good, both can be bad, but I usually default to subs. <3