For the record, I'm not a native English-speaker.
When it comes to movies (or tv shows, video content in general) I almost never put subtitles on. If I put English subtitles on I end up not reading them, if I put Finnish subtitles on I end up being annoyed of bad translations.
On video games I always put subtitles on. I don't have a solid reason for this, I've just always done it. I usually end up not reading them either, but one of the first things I do (after setting the graphics to max) I put subtitles on.