I have them on all the time due to sometimes not being able to have the sound on loud, or simply because some voice actors mumble and I miss something important.
Games that don't have them annoy the crap out of me. Especially God of War. No subtitles in that game yet they feel the need to make the actors talk quietly, and the music blast out loud.
However, I cannot stand subtitles during a movie, they distract me from the explosive goodness!