This is one of those things that depends on your learning style and motivation.
By far the most important thing is to pick something at the right level for your ability.
If you're a glutton for punishment, you can watch something nigh-impossible like GitS and rewind on every word until you understand everything, but that would make most people want to give up.
What's probably ideal is to watch something quite easy and try to pick up as much as you can while skipping back no more than once every five minutes or so.
And don't forget that inferring the meaning of words you could't pick out or just don't know is an important skill relied upon even by native speakers.
Some people recommend using music, since the rhythm emphasizes the breaks between words and the melody makes the words much easier to remember, but I've never been a huge fan of that due to verse playing so fast and loose with the rules of grammar.