When someone sneezes, should I say something? (Like bless you in English) --> Saying nothing has no problem in Japan. Or we ask someone who sneezed だいじょうぶですか(fomal)/だいじょうぶ？(informal, between close people). The subtitles often say おだいじに, however, I rarely say it to someone who sneezed. I hope this was helpful.

For example, when someone sneezes should I say something? Like bless you in English

I think we generally don't have this type of expression in Japanese. However, watching the subtitles on the movies, there are different translations depending on the situation though it's not the literal ones. Can you give me the situation?