AppleInsider reports that some TV studios are beginning to add closed captioning to their shows on iTunes. As of this writing, captions are showing up on "Sons of Anarchy," "New Girl" and "The Secret Circle." The update is limited to episodes from the current season of these shows.
Apple TV has offered closed captioning for many movies for quite some time, and Netflix, which is available through Apple TV, does as well. To enable closed captioning on the Apple TV, go to Settings > Video. There you'll see the option to toggle the service on or off.
In the past there have been complaints about the small amount of material that is subtitled on Netflix and on the Apple TV. The captioning has to be provided by the content creator, unfortunately, so Apple and Netflix can't do much about it.
By the way, Lion also supports closed captioning in movies, videos, podcasts, QuickTime content and the DVD player.