What model do you have? Mine is a JVC XV-N420B. This DVD player does output subtitles or closed captioning via any route, from coaxial to SuperVideo to component cables. I've got it hooked up to a Samsung SlimFit 30" HDTV unit and it works great.
On a related note, the Dilbert DVD collection isn't subtitled, but is indeed captioned. Ditto for the Dune DVD as produced by the SciFi channel.
