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I answered "read the entire series from start to finish" but that is how I prefer to read them.
The truth is that most of the series I've read over the years were done in the "one book now and another in a year's time or more" because the sequels were simply not published yet. And of course I read other books in between.
I have also read series out of sequence. I would pick up a book that was,say, the second or third book, read it and if I liked it then read the whole series.
This is in fact how I read Pratchett. I remember even now that I started with "Small Gods" and I was hooked. I then read and bought his books in whatever order I could find them and they were perfectly enjoyable and understandable. For me Pratchett's books are not really a series or many series, they are just tales that share characters.
Back on topic, if the series is complete and I have it all then I will read all the books, one after another. This is how I read Patrick O'Brien's Aubrey-Maturin series or Cornwall's Sharpe. If the series is not complete I'll just read what exists (e.g. George R. R. Martin's Song of Ice and Fire).
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