Yes. In the Netflix Channel on the Roku 2, if subtitles are available you can enable this feature.  This is still dependent on the individual movie or show to have this feature.  

To enable subtitles in a Netflix movie or tv show:

• Click on a movie or show title
• On the play menu screen, you should see an option labeled "audio and subtitles" if it is available
• Select "audio and subtitles" and click OK
• Use the directional arrows to select "English" under Subtitles and click OK
• Click the back button once or the up directional key a few times until you are back at the play menu screen
• Click OK on the play or resume options