I started off with the show, but I picked up the comics sometime between Season 4 and Season 5. Personally, I prefer the comics. The comics are more consistent, and are far more brutal than the show. There's also tons of little things that the comics do that they can't squeeze into the show, like scenes of basic ingenuity and survival. The comics feel more 'realistic' and lifelike in a sense, and the characters are more varied. Also, there are some mini-plotlines in the comics that are quite well done, whereas the show has a habit of expanding everything (this can be either good or bad, depending on how well it is executed). The art can vary quite a bit (Issue 1 and the latest issues look almost nothing alike), but is well-drawn (with a few exceptions).

The show has had a few rough patches (most of Season 2A, Season 3B, and the latter half of 5A), but is for the most part good though. They are wildly different from each other though, and only share a few characters and the general plot outline. Characters like Sasha, Daryl, Noah, Beth, and Tara are completely new, and characters like Tyreese and Carol are completely different from their 'original' versions. Other characters are left out or replaced outright. However, for the last 2 seasons, it has been a very good adaptation, with the general essence and story kept and sometimes expanded in a good way. The acting is also for the most part very good, and the cinematography and symbolism have been excellent since Season 4.

In the end, I personally enjoy the comics more, but the show is a worthwhile experience. The choice is up to you. The show is on its 5th Season at the moment with about 4 episodes left, and the comics are at Issue 137, which is twice as far into the story as the show is. If you want to read the comics, buying the Compendiums is the cheapest choice, or you can obtain them through less legitimate means, but I don't recommend that. For the show, you can either wait for a TV marathon, or try Netflix, which has the first 4 Seasons. I hope this helps! Enjoy!