Vitamins are very sensitive to the stress of heat. It doesn't take much heat for the vitamin levels in, say broccoli, to drop by as much as 50% when they are steamed. Think about how crunchy most vegetables are when they are raw. Then think about how soft and squishy they are when they are cooked. Also, look at how much color may be lost when they are overcooked. Vegetables can look pale and dingy when over cooked. Not only do they look non-appetizing, but they've also had much of the vitamins cooked right out of them.
The best way to eat vegetables is to have them raw. Think about when you have a salad. Raw lettuce or spinach, some carrots, onion, tomato, broccoli, raddish, cucumber and celery. These foods are BURSTING with vitamins and minerals and wth a little consistency, will drastically improve your health in a hurry!
If you really aren't too keen on eating vegetables as a snack, you can also sneak them into a smoothie by combining them with a food that has a very strong flavor. For example, you can add kale, spinach or carrots to a smoothie that has peanut butter, banana and a little chocolate and get all of the vitamins that way. Talk about mixing business with pleasure!!
In summary, vegetables will be better than the alternative no matter which way you have them (aside from deep fried) but eating them raw is the best way to make sure you get the full benefit from eating them. Your body will thank you!