How to download videos from YouTube with subtitles?

How do I download videos from YouTube with subtitles / captions?

I'd tried by using youtube-dl, with --write-srt --str-lang flags but I always get:

WARNING: video has no closed captions.

Make sure the video you're trying to download has actual subtitles uploaded from the owner.

You can then use, for example:

youtube-dl --write-srt --sub-lang en 'http://www.youtube.com/watch?v=RHy9_RQbrnQ'

There is also an option to download the automatically generated subtitle files, using --write-auto-sub.

See the youtube-dl documentation.

If you want a free, easy-to-use program with a simple GUI, there's Google 2 SRT.

It detects all the available languages and converts to SRT, SSA or SUB.