Is it normal for the regulator to leak out gas when you hook up a new propane tank?

I've been experiencing some problems with my grill lately. Before I changed out the tank my grill wouldn't get very hot even on high, but this wouldn't happen everytime. One night the burners went completely out and I umed that it was out of gas, but now I'm starting to think that the regulator just finally completely failed. I went and got a new tank and hooked it up and the regulator started shooting out gas. Is this normal at first or is it time for a new regulator?