It depends. Sometimes I prefer the English names. "Fal?"
It's not just the odd sounding Japanese names either. I used to always prefer the Japanese names, until I read Fruits Basket. With the thousands of different nicknames and honorifics that they were using, it was extremely difficult for me to follow. Even without the nicknames and the honorifics, it was kind of taxing for me to go through something with really foreign sounding names.
However, there are many cases when I prefer the Japanese names. I remember that there was a Yu Yu Hakusho movie that was dubbed long ago. Yusuke became "Eugene", Atsuko became "Victoria", someone became "Vincent", etc. :S
...Looking at my post, it seems that I'm unhappy in either case.
I'll usually just get used to what I see first (which usually happens to be the English version); Cress as opposed to Cless (Yes, I prefer C
ress), Stahn as opposed to Stan, Alis as opposed to Alisa, Shir as opposed to Shilka, etc.
I'm usually fine with both Japanese names and English names, but I will get a little mad when people go, "OH MY GOSH, IT'S CLESS NOT CRESS YOU N00B!!!111!" Then I prefer the opposite of what they like.