Personally, I'd watch the subbed version, and then, if you're interested, watch the film redub in English. Then Rebellion in Japanese And then English, maybe?
To be honest, though, I've only seen the dubbed TV show version. I got the Japanese BD discs for the films and Rebellion, so I can't actually comment on those dubs.
For the TV show, the English dub was… okay. On the one hand, they matched voices generally okay, but the acting started out really rough and took a little getting used to at first. Once actressess got used to roles, the quality increased, but there were a few quirks that still bothered me. Deadpan English for Homura just didn't seem Homura's VA's forte in acting. When Homura gets emotional and her voice changes, though, her actress' acting specialty really shines bright. It suddenly got me choked up, especially in the last episode. Kyubey, however, was consistently great throughout. Like, on par with the Japanese, minus maybe a few minor lines in the script (the script had its issues, too, inconsistently keeping and changing some terms that were important to the show's themes—i.e. it couldn't consistently decide whether it wanted to translate "hope" and "despair" as "hope" and "despair" or "good" and "bad").
So definitely the Japanese dub works best. I don't think the English dub was really "bad" at all, but Madoka Magica's Japanese acting is quite high quality for even a Japanese dub, so the English dub's okay quality barely lives up to the hype as a whole. Except Kyubey and Homura's epitomal moment.