Here's one I made earlier.
This simple Player uses the new FLV Captioning Component in Flash CS3 (note: Flash CS3 is currently available as part of some of the new CS3 Suites. The standalone product will follow). It's a simple demo but you got to admit that it's pretty neat - consider also that the captions are read from an external file.
No sources this time (sorry) as this is part of a commercial project I'm working on. However it will be easy to recreate once you got Flash CS3.