As a Swede I'm used to having subtitles on the TV as we don't dub anything. Sometimes it can be really distracting since it is very hard to not read it, even if you don't really need it. That in turn can be confusing since you are trying to understand the spoken word at the same time as concentrating on reading text, i.e. two languages simultaneously.
Generally I don't use subtitles when watching DVD's etc. but in certain types of movies it can be really helpful (those kinds of movies where the volume of the spoken word is low compaired to the background sounds).