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I think it is always best to read a series in order or at least to read the first book first so you get a good 'introduction to the characters. There are some series - like one of my favorites, Jane Rubino's Cat Austen/Victor Cardenas series where you definitely need to read them in order imho - the 4th book is about a movie being made about the murder in the first book, and the last book - Raise the Dead - pulls in a lot of material picked up in early books.
When there is a relationship that progresses - like when people meet in the first book, date and then get married, or when there is a recurring character or criminal i like to see the relationship as it develops.
It depends on which series you read. In most of them, you miss half of the subplots in the later books if you had not read the previous ones. Although there are quite a lot of recent series where the authors make sure they summarize whatever is needed so you still can catch the essence of whatever they are going for. Still - the more detailed accounts of the previous books sometimes are giving you that small clue that you need to decipher something a bit earlier or to see through someone's seemingly strange behavior.
With this being said - I usually read series in order.