I think it depends what you are trying to achieve. Here are some methods/recommendations I have read of from different people:
1) IM Silman recommends going through a selected database of games in a specific opening/variation quickly to get an overall feel and 2D/3D impression of the tactics, strategies and play (but not his only recommendation)
2) I have read of a number of GMs (in the pre-computer era) who played through games collections, every single game at least once and sometimes more than once in their early years, and sometimes their first book of chess, who in later years says that was a very good introduction to chess. There is an Australian GM who improved in chess by translating russian chess magazines and games into English for Australian chess magazines, and obviously playing through tons of games. Similarly, I think that is the experience of a big number of chess players pre-computer, when the Informator was the big source of games and everyone played through them.
comment: I think in the 21st century, chess players are really spoilt with lots of decent to good books on almost every aspects of the game explained with sufficient prose. There is no such thing as a good thing nor a free lunch and everything comes with a price. The price for these books is that we, the readers and consumers (I intend this deliberately!) gets lazy and do not think and analyse for ourselves, 'cos everything is handed to us on a platter.
Consider the book on flank openings, arguably Raymond Keene's 2nd best book (after his book on the Modern Defence, without the plagiarisms), it is full of selected illustrative exemplar games with an introduction of the ideas/concepts. The reader has to engaged with the games and figure out the ideas/concepts. (reminds me of the reader-response approach in literary criticism theory).
3) A slightly more selective and time-consuming approach would be to pick one chess player from the series and concentrate on his/her games, play through the games, the analysis and try to understand the original moves and the analysis and why it is considered an improvement.
(I think Gelfand and Rubinstein is the traditionally cited example of both the 2nd and 3rd methods.)


Having said that, I think in the computer chess database era, things are done differently. IM Silman's method is best done with a chess database.
Similarly, playing through chess games collections perhaps is quicker through e-versions.
However, something is to be said for the 3rd method and doing it slowly and methodically on a concrete 3-D chessboard and moving the pieces yourself. I think this method helps, in addition to learning the games etc, also in memorisation, visualisation, seeing the whole board, muscle memory etc.

At the end of the day, IMHO, something that works for improvement, which is something has been oft repeated in this Forum by many others, better players than I, is this: pick a book (eg endgame or middle game) or a collection of chess games preferably with good annotations, work through them diligently, regularly with sufficient time each session, be open-minded (growth mindset), persevere to the end (grit), and you should see improvement (money back guarantee! ).
Consider as exemplar of this method: then-IM now-GM Jonathan Hawkins book. Also consider the late-IM Colin Crouch's trilogy of books he published documenting his return to chess after his stroke which impaired his brain and eyesight.
Also, consider the concept of "deliberate practice" if you are really serious about improvement and you have identified a specific weakness or two or more.