I rock the shizz out of Netflix and Hulu.  I find the captioning (when available, which is pretty good these days and improving for additional content) is waaaay better than those caption movie glasses Catastrophic mentioned.  I used to see movies all the time when Local Megaplex had Open Caption; it may have been only 2 shows a day, but I could always make the shows I wanted.  When they switched to the mediocre caption glasses for all shows/all day, I dropped down to maybe 2 movies/month because even when the power sources don't run out (they run out a lot), the glasses themselves aren't oddly defective (like caption in only one lens), there's still these gaps where characters are talking and...no captions!
I'd say about 85-90% of Gatsby was captioned, which given the length of the movie, was a considerable amount to leave out.  With Netflix, I have the rare episode where the captioning is not in sync with the show (too fast/too slow).  The end of the season 3 finale of Bones I remember specifically having this defect.