We've added this page on the Netflix Website that lists all of the TV shows and movies that are available with subtitles. It is accessible via a link in the Netflix Website footer, via search (for “subtitle” or “caption”), or linked from the detail page of any title that has subtitles.
Subtitles are supported on PCs and Macs, Nintendo Wii, Sony PS3, GoogleTV, and the Boxee Box. We expect that Roku and Xbox 360 will support subtitles later this year. Most new Netflix ready devices released this summer or later will support subtitles
For content that has subtitles, look for the Subtitles button in the player on the PC/Mac:
On Netflix ready devices, look for Audio and Subtitles on the movie or TV show detail page before you begin playing: