Subtitle Workshop. Free, really easy to use and it does what it's meant to, nothing else nothing more. Once you've created the subs (for which I normally use SSA format as it allows you to change the font style and colors) you just "burn" them into the video with VirtualDub (you'll have to look for the subtitling plugin for this IIRC) and you're done.
Linky:
http://www.urusoft.net/products.php?cat=sw