Almost always, at least at the beginning.
If I'm playing a new game I want to play it, I want to familiarize myself with new mechanics and foreign concepts, not listen to exposition. I often find that I get more interested in the story after I've gotten a solid grasp on the game itself, and after the characters have become at least somewhat familiar (even if that familiarity is limited to the sound of their voice).
So I'd say too many games front load the narrative. Give me time to grasp the gameplay, only drop some dialogue and remarks to build intrigue/characterize relevant parties. Take it easy on the narrative and slowly introduce it, lest you overstay your very limited initial welcome.