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At first I thought you were talking about the chapter books that clog the SF&F catalog on Amazon.
It depends. I buy episode books from authors that I like, regardless. Some series are pretty much standalone, or at least each book comes to a somewhat satisfying conclusion. Weber and Butcher come to mind. In general, I won't buy the first of a series from an author that I don't know unless there are already several books out.
I will say that the never ending series a la The Wheel of Time where it's building to a finish, can get pretty annoying. On the other hand, series that are open ended such as Perry Mason are fine. I think that Weber's Honor Harrington series and Butcher's Harry Dresden series are at different points in the continuum. At first, HH was more like Dresden, i.e. an open ended series rather than driving to a conclusion. The more recent books seem to be driving to a conclusion and IMPO haven't been quite as good.
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