There is no right or wrong answer to this one, there is only what you find works best for you.
With musicals or contemporary plays, I'm generally happy to go in blind. They're rarely very difficult to follow, and if it's brand-spanking new then I often don't have the opporunity or means to get to know it beforehand.
With Shakespeare, however, I like to know the play first. I've seen 30 of them, and 24 of those were without knowing a thing about them before seeing them for the first time. I ended up expending so much mental energy on simply understanding them that I didn't keep anything aside for remembering, and now I KNOW I've seen some truly wonderful productions, but I can't remember them even half as well as I would like, which just kills me on the inside. Now that I'm familiar with more than 30 of his plays, I don't often get the choice about whether or not to go in blind anymore, but I wouldn't want to anyway. That's just what works best for me. :)