Don't feel alone, this happens to everyone who uses an antenna for reception. The reason is that captions are basically hidden in the picture. Imagine that it's like the Magic Eye pictures, where you have to look at it funny or cross your eyes to see the actual picture inside the pattern. It's the same way for captions...turning on the decoder makes it possible for you to "see the hidden picture" without crossing your eyes.
For this reason, if the picture is not perfect, you will get mistakes in the captions. The decoder is trying to give you the proper information, but it is getting junk from the picture, so it doesn't know what to tell you. It can see part of the picture, so you will see some correct captions, but the rest is fuzzy so it prints garbage.
Of course, lots of things cause fuzzy reception on an antenna...clouds, weather, lightning, etc. Cable is mostly safe from this because it is run underground through protected wires, so you get a perfect picture almost all the time with cable. That doesn't mean the captions don't get messed up, but it's a LOT less common than with an antenna.
There's not really anything you can do about it unless you are willing to change your equipment. If you get cable, DTV, or other modern technologies, these are all pretty safe from problems with captions. I hope this helps!