When starting a new series do you guys ever give english dubs a chance or do you just go straight to subs?
Personally I like the dubs for Bebop and Hellsing
Depends largely on when the anime was made. If it's an old anime, chances are the dub will be terrible since production values were worse and english markets were a side thing at best, but most of the newer stuff has pretty decent dubs since the market's expanded so much in recent years. If the english dubs are any good, and I'm watching on DVD, I'll usually watch one episode with dubs, then one with subs, and alternate throughout the entire series (watching any particularly dramatic scenes again in both).
That said, there are a few series you should never watch in dubs. Final Fantasy Unlimited has some of the worst child VAs known to man, but the series itself was pretty poor so it's to be expected. Gurren Lagann is generally better dubbed than subbed, if only because English is not a language designed for kiais. Also Kamina's VA should have been manlier. The dubs are still watchable, just not as good. Gundam Wing's english dub is also pretty poor.
Steamboy, if you ever watch it, has a pretty interesting dub, featuring the actor for John Luc Picard from Star Trek as one of the main characters, plus some dubious Machurian accents. Darker Than Black also has a pretty good dub, notable in that it usually makes more sense that the actual Japanese. Anything by Miyazaki usually has dubs that are at least appropriate. Baccano!'s dubs also fit the flavour of the setting a lot. Eden Of The East's is passable.
Obviously, I can't comment on stuff I haven't watched, but generally it's not too much of a loss nowadays to give the dubs a chance and see if you like them. Most older stuff is better subs, though. Cowboy Bebop is fairly old, but I think it's one of the exceptions that proves the rule.