When you rent or purchase some foreign movies or TV shows from the iTunes Store, you will often find that (a) subtitles are "built into" the movie and cannot be turned off, or (b) that the video in question has no subtitles at all. In both cases, however, iTunes includes a setting that allows you to turn off (as long as subtitles are not embedded in the movie itself), or how to turn them on, as long as the distribution studio has made them available. We'll also talk about enabling closed caption for video playback, whenever they are available (note that this falls onto the content producer, as iTunes doesn't (yet?) offer on-the-fly captioning).
If needed, start by launching iTunes:
From this point on, iTunes will automatically show subtitles in the language you chose, provided that the feature is made available by the content producer or distribution company. Know that you can also change iTunes language settings.
Tip: when previewing movies or TV shows in the iTunes Store, click the "View Trailer" button or the play button to preview episodes. If the trailer contains on-screen subtitles, you can bet that they will be displayed in the feature length movie as well (which means that they cannot be turned off either). Also check the movie's "specs" / description, as shown on the screenshot.
When you are inside the iTunes Preferences dialog, you'll find this closed captioning option just under the subtitles one we just discussed. To enable closed captions by default, click on the "Show closed captioning when available" checkbox:
Note: as with subtitles, closed caption are not automatically distributed with video content (by far). If you are part of the hard-of-hearing and deaf community, contact the distribution studio to ask for this feature - Apple only "resells" this content, and has limited control over it and its features.