I hear a song, like the song, check out the lyrics from that song or the other lyrics from that artist, and make an informed decision.
I tend to be a little more lax than some people, though. Not saying that I would listen to purposefully hateful or anti-Christian lyrics, but that many things that some would take offense to I see as metaphorical or in a different light where I focus on something else the song may be trying to get across (sort of like asking 'Why are they saying this?', and infer something about what the song could possibly truly mean, since that can be quite different when taken in context, rather than just simply say 'I didn't like this line because it's bad', reject the rest of the song's context and throw the song out). It's simply the way I've grown in my ability to analyze music (or various other mediums).
For instance, there's a line in the MDFMK song "Rabblerouser" that goes something like, "Life is short and God is Man." Now, when I first heard it, I felt a little uncomfortable with that assertion, even though I knew that was taken directly from Nietzchean philosophy. Of course, in the context of the song, I can see it's talking more about the thought pattern of this person or personage (since it seems to be somewhat abstract), rather than making a clear exertion. I'm not saying that Nietzchean philosophy is A.O.K., but in the context of the song that line makes perfect sense (not to mention it was in an anime music video set to the series Neon Genesis Evangelion, which seems even more like a perfect fit considering the events in the series). KMFDM/MDFMK does play around a lot with nihilistic and Nietzchean themes, so it doesn't surprise me that this song was recorded, but I've never really found issue with their music as a whole. It seems to be more political and social commentary than philosophical rambling. That's just one example.