For me it depends on the length of the series and if the series is finished or not. I have no problem reading all the Harry Potter books, Lord of the Rings and Harry Dresden Files back to back.
I'm currently reading the Jack Reacher and Harry Bosch series' but I've stopped and am reading other books before getting any more from those 2. I've only completed 5 books in each series so far. I figured I should take a break so I don't get sick of them. I won't even bother re-reading A Song of Ice and Fire until it's completely finished, and if that doesn't happen, oh well.
I try to read a series in publication order since that's usually the way the author intends them to be read.
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