This is a very buzzed-about, summer beach read type-book, which is not at all my usual jam, but it came with an enthusiastic endorsement from Linda Holmes on NPR's PCHH podcast and my friend (a fellow-PCHH addict), and both recommended the audio book, which is what I ended up with. I wouldn't go so far as to say that it is the only or best way to imbibe the book, but I really enjoyed it, and if you are the audio book type, this is definitely for you.
It's lazy to compare it to Gone Girl but...you know...I write a new one of these every week so whatever. If you liked Gone Girl, then you will probably love The Girl on the Train, and it plays around with narrative structure and the idea of the unreliable narrator in much the same way -- which is where the audio book format factors in. There are three women who narrate the story, and the audio book is performed by three different actresses (including Molly from Sherlock, whose voice is lovely), and so the three-voiced performance is really clever and enhances the whole experience. It's suspenseful and exciting and fun, all the things you want from a summer book.