Closed Captioning assumes the viewer is unable to hear any auditory information. Cues to non-speech auditory information are included, e.g., [Tires screeching] or [Horn honks] or [Both laugh].
Audio descriptions are sometimes an available option as well, which adds a narration of the action, e.g., In black and white, two men in a dark sedan motor up ... Hear samples of audio description from the Audio Description Project of the American Council of the Blind.
You can sample both options on the same flim clip at http://www.vitac.com/index.asp
Subtitles assume that the viewer can hear, but needs the language translated. Therefore, subtitles usually provide dialogue and narration only.
If you are using video for class (in class or as an assigned resource), you must decide whether the non-speech auditory information is important.
Also, it is strongly recommended that you preview at least a portion of the video to determine whether the captioning or subtitles provided are acceptable. Consider how accurate and synchronized they are. For example, do they include names? Does the text appear at about the same time as the corresponding audio so that visual cues make sense?