"Subtitles assume the viewer can hear but cannot understand the language or accent, or the speech is not entirely clear, so they transcribe only dialogue and some on-screen text.

Captions aim to describe to the deaf and hard of hearing all significant audio content—spoken dialogue and non-speech information such as the identity of speakers and, occasionally, their manner of speaking—along with any significant music or sound effects using words or symbols."

https://en.wikipedia.org/wiki/Closed_captioning#Terminology

Closed captions also provide hints as to non-dialog audio; song lyrics, musical tones, important noises in the background etc.

Personally I always use subtitles, and closed captions if it's available; there are quite a lot of audio clues that I wouldn't otherwise know are even interesting, that get highlighted - mostly extra detail rather than plot important, but it does key you up to things happening or about to happen in the background.