I used to be an all-captions all-the-time person, even with films (where people definitely get a little crosser if you want them on all the time). As someone who struggled with having to watch TV very quietly when I was younger to avoid disturbing other people, the ability to just have the text available after the transition to DVDs was amazing to me. I’ve pushed myself away from them, but still can be tempted either way.
In games specifically, it varies. I tend to let them stick on whatever the default is, as I feel like games that default to having them off tend to err towards a more cinematic style. I think I prefer them off because I’m a very fast reader, so I’m often skipping ahead of the spoken dialogue at a rate that definitely distances me from what’s happening on screen. As I’m fortunate enough not to have any audio processing difficulties, they aren’t a necessity for me either.