VLC media player (www.videolan.org) allows you to play a movie using an external file for subtitles. So you can download movies with Italian audio (which are pretty easy to find) and English subtitles separately (they are easy to find too). Many times you don't need to download a movie at all, but just the subtitles file, since you can give VLC the url of the media stream via the "media->open network stream" menu item (e.g. youtube) :-)
Hope it helps,
tano