On the one hand it is nice to read a whole series at once. On the other hand, it is nice (and frustating) to look forward to the next book, some series could keep you company for some time. Granted, the time between martins books is to long, even for that, but malazan and harry potter (and Pratchett but thats no a series like the others) did that for me. It's a love/hate thing, but as a fan of that kind of series I have learned to live with it. But if something is only a trilogy, I normally wait till it's finished