English is not my first language, so yes, if the game alows it, I ALWAYS turn the subtitles on.
There are a couple of exceptions where I find the subtitles a bit annoying and obtrussive, like most Valve games. I rarely play Half-Life 2, Left 4 Dead or whatever you like from Valve with subtitles turned on. Sometimes I kinda wished the Halo games had a subtitles option somewhere.
What I always considered the best option for any game is to allow me to listen the english voice track and have the subtitles in spanish, there are very few games that allow this in consoles, in PC and the NDS is a lot more frequent and I'm very glad.