... each one? As in, read Epic Fantasy Novel 1, then read something from another series before starting Epic Fantasy Novel 2.
Personally, I always prefer to break up books in a series with something unrelated in between, otherwise the first few chapters, which normally subtly reintroduce everyone to ease you back into the world, feel weird when, from my point of view, I've only just left.
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"I'm Commander Shepard, and you're standing in the biggest library in Citadel Space. Look me up."
On a somewhat unrelated note, when I read webcomics and the like, I never read it as it comes out. I read all that's out, then wait a year or so and read all of it over again or a large chunk of it.
-- BrunomasterX SHINE: The man killed an entire kingdom by pissing into their water supply. If that isn't development I don't know what is
Usually read them all in one shot. There might be an instance where I might not be able to get a hold of the next book in the series (*grumbles at the fun spent acquiring The Death Gate Cycle books* - awesome series btw), or I might get to a point where the next book has not been released and start on other things.
The beginning chapters rarely feel weird to me, though it would probably depend on the tone of the book.
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There is no shame in not knowing; the shame lies in not finding out
I read it straight through, though I had to take a 3-week break in ASoIaF since the latest book just came out last month and I finished the 4th book too early.
-- "Filthy lawbreaker, unhand that vending machine!" - Casey Jones
I find it much more easy to do it with video games because you are investing a lot of time and energy into a particular system, and to play a sequel that usually offers a similar genre, it can get a bit draining.
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There is no shame in not knowing; the shame lies in not finding out