I started with the stories first, and read them before I ever saw any filmed versions. I think because of that I never really like the Basil Rathbone films because they varied so far from the original canon, though his performance in and of itself was a great portrayal, but everything else about those films I didn't like (as one poster mentioned, Nigel Bruce as Watson was just terrible).
Jeremy Brett is my #1 Holmes by a mile. The entire Grenada series was excellent, and they never deviated from Conan Doyle stories in any material way. Cumberbatch is also good, and I really enjoy the various references back to the Conan Doyle stories that pop up all the time, very well done. One plot point "Sherlock" didn't have to change was that Watson was a former British army physician who had been wounded in Afghanistan.