For a long time, I would have told you to always read the book first. However, since the books are generally more in-depth and emotional then their TV or film counterparts (apart from The Hobbit), I would say go for the adaptations first to avoid disappointment. This way I find I actually value the adaptation as a film because there is nothing to compare it to. You can get a similar feeling if you haven't read the book in an age as well, the only difference being you are forewarned of any twists.
Now, there are quite a few adaptations which may not be the case and it is down to personal preference I think. I have so much trouble reading old books like Dorian Grey, The Phantom of the Opera or Great Expectations, so the adaptations are a nice way to know my classic stories without having to read them.
There are some who only ever watch the adaptations. Shame on them, because mostly the books are far more engaging. I suppose it might be good for someone who is extremely busy, as films tend to take up less time than their papery counterparts.
Then there are the people who only read the books. The issue with that is that there are a lot of incredible adaptations that they will miss. They also won't be seeing too many films from now on, as most of the stuff coming out of Hollywood is derived from books, comics and graphic novels. There aren't too many original films out there nowadays.
I find the best way to live is to just choose carefully. Reviews from us bookish types always help, though be careful for fans who may not be able to see past what the film has missed out. I can tell you right now to leave Robert Pattinson alone in favour of Sara Gruen's Water for Elephants, or tell you that if you want a fairytale, read Neil Gaiman's Stardust first, and then watch the film to see the strangeness seep away in favour of Robert de Niro and classic cliches. OK, I loved the film, but it did suck out all of the Gaiman-ness.
I guess it's all personal preference. I think I'll be reading Gone Girl and Before I Go To Sleep before the films, but will you be?