I don’t think there is a universal answer to that question. “we” doesn’t exist; we’re all individuals with individual learning styles and needs. Some people might thrive in a supportive learning group while others prefer to be left alone with their books. Some might need a teacher to tell them things and to explain new stuff while others are perfectly fine with a well-written textbook and some additional resources. And some are something in between.
There have been many different approaches to learning. Learning theorists argue about who is right and who is wrong. You know what? Maybe they’re all right, maybe they’re all wrong, but most likely, they’re both at the same time. They’re right for some people and wrong for other people.
In learning, there is no general “we”. There is a “me” and a “you”, and there might be a temporary “we” sometimes too. But there is no general “we” that can be described as “we all learn best like this” or “we all just need to do that”.
As educator, I try to find ways to help my students even though they all come to me with different experiences, different needs, different knowledge and skills. The second-best way to deal with this oh-so-common situation is to try to implement various kinds of exercises, to appeal to different kinds of learning styles, and most importantly, to ask them how they want to learn, how they have learnt well in the past, and for what purpose they need to learn. The best way to deal with it would be to take the time to individualise the lesson for every student. That’s not feasible, unfortunately, if you have more than a few students at a time.
So how do we learn best? Each at his own pace and with his preferred learning style, I’d say.