For me that depends entirely on what application it is. For large well-known applications I want them to be consistent across all operating systems. Firefox, Chrome, (MS|Libre) Office, Photoshop, etc are all large enough and ubiquitous enough (depending on computing context) that I want them to behave as closely as possible to each other.

For applications that are mostly for that OS, I would prefer they adhere to the tenets of design for that OS.

This is less a matter of wanting it to feel a certain way and more a matter wanting familiarity and utility out of the applications I'm most likely to experience on different operating systems when I'm on them. Function is much more important than form for me in this case.