My immediate reaction is to say stand-alone episodes, because that's what most of the shows I currently watch use, but now that I think about it, I do tend to enjoy the long-form stories more. For a long time, my favourite shows were Digimon, Pokemon and Dragon Ball Z, and a big part of why I liked them was the continuing stories (obviously sometimes they went on for too long, particularly DBZ). I think my ideal situation is where a show has strong continuity, and the episodes happen in a specific order, with occasional multi-part episodes. A good dose of stand-alone episodes is important though. I guess it's a tough balance to maintain...
Ironically, I find myself getting tired of stand-alone episodes faster. With DVDs, I tend to be more interested in watching the episodes if they have a long story arc, whereas with long series full of stand-alone episodes, I often find myself not watching all the episodes on a set for quite a while (that is, season sets-- if the DVD only has a few episodes, I'll just watch them all).
