Depends on my mood. I like them all. I have problems with each of them too.
Books - By far, IMO, has the most depth. If I had to pick just one, I'd probably pick this. But when I read, it's like reading a forum post, I don't really visualize what I'm reading. When I go back and think about it, I do.
Movies - Gives me the visuals I lack from books, but it's someone else's visuals. But not much depth. Although sometimes that's a good thing, as I didn't like reading Goblet of Fire, although I think it's an excellent movie.
Television - A nice mixture of both, with an annoying week long delay between episodes. I like to dvr them and then watch a bunch of them back to back. And usually when I find a show I like, it gets canceled after a season or two. If I wait for a couple of seasons and then start watching it, I get confused when they're shown out of context, or feel like I'm playing catch up. Like with Scrubs now. Or I'm sitting around waiting for the next season to start, like with Justified.