Usually, but not always. I find that in some games the inclusion of subtitles draws my focus away from the rest of the screen - I end up doing reading when I could have a better experience watching and listening.
But there are some games where the use of subtitles significantly enriches my experience. For example, right now I'm playing Assassin's Creed: Unity, and the ability to play the game with French audio and English subtitles takes the game to another level for me. There's a big difference between running around a revolutionary Paris where everyone speaks English and running around a revolutionary Paris where everyone is speaking the correct language, but my understanding of French is nowhere near sufficient to understand a spoken conversation. Without the subtitles I would have to choose between English audio or not understanding the dialogue. I get the same type of enjoyment, qualitatively speaking, from other games where the perceived authenticity of a real-world, non-English-speaking setting is central to the game's premise - the Yakuza series comes to mind - and if a game matches those criteria and offers the foreign language audio + English subtitles, I will use that configuration every single time.
I also play with subtitles on any time I'm gaming during the day, because I live in Manhattan and there is often enough noise filtering into my apartment to make picking up dialogue difficult.