When I did an independent study course with Ted Odell, he told me to get a copy of De Vito’s Functional Analysis and work every exercise. He said that if I were taking a class with him, he wouldn’t assign every exercise, but that I needed to work more problems to make up for not having the structure of a class.
I don’t recall whether I actually worked every problem, though I believe I at least did most of them. I know of someone who learned algebraic geometry by working every problem in Hartshorne, and I’ve heard other people recommend the same.
Doing all the exercises in a book isn’t a bad way to learn something, though it depends on the book, what you’re trying to accomplish, and on the quality and quantity of the exercises.
Have you ever gone through a book working every exercise? If so, what book? How was your experience?