Subtitles are supported on PCs and Macs, as well as most of the devices that stream Netflix to TVs, like Playstation 3, Nintendo Wii, Boxee Box and Google TV. XBox 360 and Roku player are expected to support subtitles later this year.
Turning on subtitles on Netflix is extremely easy. Any movie or TV show that has subtitles shows a “Subtitles” button on the player. Clicking on the button shows the languages subtitles are available in. Selecting a language would turn on the subtitles. The same button can be used to turn off subtitles.
The devices that stream Netflix content have the “Audio and Subtitles” option.
Here is the list of all the content that has subtitles now. TV shows like Dexter, Lost, The 70s Show, Weeds, Scrubs and movies like District 9, Prince of Persia, Free Willy, and many animated movies have subtitles now.
Source: Netflix Blog