While we all learn differently from one another, and differently based on what it is that we are trying to learn, we can definitely look at trends. When I am learning something in the Cognitive Domain (and to some degree, also the Affective Domain) I tend to be an auditory learner. I know that I'm in the minority when I say that I learn best from lectures or reading. I like to debate controversial issues in person and read the comments section after articles.
I recently started coaching pole vault. I have no experience with it whatsoever. The best way for me to learn was to watch YouTube videos. In the most effective ones, experts narrated what the vaulter was doing before, during, and after he did it. I found this to be very helpful. This is still considered part of the Cognitive Domain because I am not actually doing the pole vaulting. I am learning how to do it (and more importantly how to coach it), rather than actually doing it myself.
When I am learning something in the Psychomotor Domain I learn best by doing. When I first learned how to use Prezi I just wanted to dig right in and do it. Listening to a lecture or watching a video would not do it for me. This was one of those things that I just needed to do for myself.
Most Effective Strategies
For me, I prefer to learn basic knowledge (e.g. vocabulary) from lectures. They are one of the most efficient ways to get knowledge from the instructor to the student. More complex knowledge, where I draw on my prior knowledge, mix it with the new knowledge, and create new learning is best done by "doing." I really like it when I can pick a seemingly minor aspect of something and take it in my own direction. I like being the expert on one or two things. Using programs that allow me to create creative displays/presentations is fun for me. I think students like this too.Least Effective Strategies
I honestly don't think that I've seen too many terrible strategies. The times that they go horribly wrong are either because of teacher incompetence with the strategy, misuse of the strategy, or external factors such as student behaviors.