Both, if possible, but I listen to music more than I watch tv, so CD sets are more viable for my personal pleasure. I rarely get a chance to sit down and watch/pay attention to a live concert video, and if I do put it on, it's usually for background noise while I work on the computer.
In the case of the live CD set being the same as the audio from the DVD, then I would choose the CD over the DVD, unless the video is really special and the extras grab my attention - commentary also helps. Either way, I'd more often than not listen to a live CD set with headphones on.
In the case of where the CD and DVD are of different origins, then depending on the source material used, I may pick one or the other, but I would rather have both.
In the case of this upcoming DT tour leg, I hope they film a single whole show, but release a compiled CD set that releases ALL (or most) of the songs they've played so far on this tour that are worthwhile for CD release, meaning if a song is new, or it's arrangement has been altered in any way, or if it hasn't been released on a live CD set yet (or hasn't since OIALT), then it should see release on the next live CD album.
-Marc.