Here is good news! You can say finally about time since two days ago, Hulu Plus recently released new update for added support for on-screen captions and subtitles in English and select other languages, when available for iPad and iPhone.
Best part is that you can change caption style too. Go to App Store, check for update and download it anytime. Let’s hope that they will release new update for it on Apple TV soon. Here is the picture that you can see what it looks like. =)