My favorite way to watch a movie is with captions that are written in the same language as the audio (I am learning Spanish, so I like watching Spanish language movies with Spanish captions). I think my brain is a little lazy, and if there are subtitles in my own language, my brain mostly pays attention to the words that I can easily read -- and does not pay very much attention to the foreign words I am hearing.
There are still benefits to watching a movie with subtitles written in my own language (probably I am learning more than I realize!). And it can be nice when I want to relax and just enjoy the movie -- or when I am watching it with someone else and they would be unhappy if I sometimes pause or rewind the movie to read a caption more carefully, ha ha.