ALLPlayer is probably the most popular program for watching movies with subtitles. It plays all known media formats, and futhermore has an implemented LiveUpdate function to update the latest codecs if there is a problem with opening a movie file. The program also searches for matching subtitles in all languages automatically.
Unlike most players, ALLPlayer is not merely an overlay for MediaPlayer, and it uses DirectX, which makes it possible to play any movie. The program is also integrated with a speech synthesizer application, allowing you to watch movies with subtitles with a reader (dubbing).