It really should be easier to enable Closed Captioning (CC) in the various media players for Linux, but in case you forget to save the settings or need them for the first time...

Xine:

In ~/.xine/config set or add:

# display closed captions in MPEG-2 streams
# bool, default: 0
subtitles.closedcaption.enabled:1
 
# closed captioning font size
# numeric, default: 24
subtitles.closedcaption.font_size:16
 
# closed-captioning foreground/background scheme
# { White/Gray/Translucent  White/Black/Solid }, default: 0
#subtitles.closedcaption.scheme:White/Gray/Translucent
 
# center-adjust closed captions
# bool, default: 1
#subtitles.closedcaption.center:1
 
# standard closed captioning font
# string, default: cc
#subtitles.closedcaption.font:cc
 
# italic closed captioning font
# string, default: cci
#subtitles.closedcaption.italic_font:cci

MPlayer:

Add the option of -subcc:
$ mplayer -subcc dvd://

gmplayer:

In the app's .desktop file modify the 'Exec=' line to include the -subcc option

gnome-player:

Edit menu -> Preferences -> GNOME MPlayer Configuration dialog -> MPlayer tab -> Extra Options for MPlayer textbox: Add -subcc option

KMPlayer:

Settings menu -> Configure KMPlayer... -> Preferences - KMPlayer dialog -> General Options -> MPlayer tab -> Additional command line arguments: Add -subcc option

Dragon Player (KDE):

Can't find if it/phonon has CC support or not yet. It does support sub-titles, but as we all know sub-titles don't always have as much information (eg sound effects, music).