It depends on the vegetable, and what you'd like to get from it. Certain plants' nutrients become more bioavailable when cooked (the lycopene in tomatoes, for example), whereas other vitamins, antioxidants and enzymes begin to denature at relatively low temperatures (Vitamin C, for example). Generally, I tend to lightly steam and/or broil veggies, if I'm cooking them at all, especially in the case of cruciferous plants like broccoli, cauliflower, etc. I love them raw, but too much at once leads to some serrrrious digestive difficulty.
Next time you're planning to cook a vegetable, it might be a good idea to do a quick google search about that particular vegetable's qualities. You'll slowly build up a veritable mental encyclopedia of info to get the most out of your plants!