Personally I've started GRRM's series knowing nothing of his publishing pace and read the first three volumes in a row.

Waiting for previous one, and based on experience with Jordan just like you (and how time-consumming it was to re read everything again before every release, and to use other means to keep it fresh to my memory like discussion forums) and realising I'd get in the very same situation of having to re read the previous volumes everytime, I've stopped reading ASOIAF until it's completed and I could read it all in one go. As far as I'm concerned, GRRM can take 20 more years, I've freed myself and looking at what happened with DWD I can only be happy I did.

It's more or less my personal guideline for series: if it's not finished and it's longer than 2-3 books, it needs to be simple enough that I won't have to re read the previous books at each new release, or else I wait until it's all done. Of course, it means I've more or less stopped reading the new multi-volume sagas at all. Bakker, Sanderson and co: all no-no's. Others like Lynch fall in the "simple enough it doesn't need re reads" category.

I only made one exception since and it's for Erikson. I started reading him (really read him that is... years earlier I had multiple failed attempts at finishing his first book) so late in the game it didn't matter (though the complaints about this later books made me hesitate a bit... for nothing as it turned out as I didn't share the feeling the were no longer as good myself) and he had an excellent track record for regular publication of his new tomes. I merely took a break of 3 months before reading DoD so I could finish not too soon before TCG.

I guess at some point I realised for me waiting for books could be socially fun (but time-consumming), but otherwise it's a wholly negative experience. With the re reads, following more than one or two ongoing series would eat up way, way too much of my reading time. Even "excitement" and "anticipation" are very overrated. In my experience it leads most of the time to creating way too many expectations (even more when it's a shared experience in a fan community, I think).

Similarly, I've stopped watching all "serials" type of TV shows and wait for the DVD/Blue Ray.