Frequently, I wait until a series is completed.
If I get partway through a series, and then have to wait a year or more to get the next book, I'm likely to want to go back and reread the prior books. While sometimes I don't mind that, it is often not the most efficient use of my reading time. So, for example, I started Song of Ice and Fire. I love it. But, I put it down, because George RR Martin is just too darned slow to get new books out. I'd rather do my waiting up front.
That being said, I do typically like to wait a little while between books in a series - I will sometimes "burn out" on an author if I read too much of their work at a stretch. So, I will often reading a couple series at a time.