You have a number of caption options, and I'm sure I'll miss some of them in this list.
1) Tivo DVR, this is what I mostly use. For non-protected content you can transfer the Tivo files to your PC for easy editing by VideoReDo products. Has a monthly subscription although there one-time lifetime subscription available. I happen to have two Series 3 HD units for sale, both with lifetime ($300+ if anyone is interested please email me at support). Requires cable card.
2) Ceton cable card tuners, both USB and PCI. These work with Microsoft media center to record both protected and unprotected content. No monthly fee. Like Tivo unprotected content can be edited by VideoReDo. (I also have a 4 tuner Ceton PCI tuner for sale ~$150, was used here for WTV testing).
3) Silicon dust Home run devices which can capture un-encrypted QAM and with their cable card version, encrypted QAM. Again, editing of un protected content works great.
4) Hauppauge has a broad line of capture devices. Too many to list here. I use their HD-PVR to capture protected HD content played out from a cable box via the component outputs.