My only real experience with 'foreign' TV and movies (that aren't in English to begin with... which I'll elaborate on in a second) is with anime... and one or two live-action Japanese movies that I've come across somewhere along the line. That being said, I watch subbed pretty much all the time. I find that I usually don't like the dub voice actors as much and that the Japanese ones usually give better performances -- and even when that isn't the case, I still just sort of like listening to the Japanese voices. ^^" I also find that the dub often changes a lot of the cultural things, too, and while I can understand why they do this... It often just feels off to me, and sometimes it just amounts to adding in Americanized jokes that are just kind of stupid, imo. >_>
Now, like I said, this just applies to foreign things I've watched that weren't originally in English. I know you said that things in one's native language still count as 'foreign' so long as it's not from one's native country, but... I just don't think the poll options apply very well, in that case? I've watched a decent number of Canadian and British shows, and like, besides the accents and a few regionalisms... Not much about them really stands out to me as foreign. Heck, there are actually quite a few Canadian and British TV shows that I watched as a kid and I didn't even realize that they weren't American shows. @_@ I mean... Total Drama Island is a Canadian show, and I didn't even notice any accents or cultural things to set it apart from all the American cartoons I watched right along with it. Shows like that just don't feel very 'foreign' to me, and I see them as a very different beast than something like, say, anime -- or anything else with a language barrier.
That being said, I do often like to turn on subtitles when I watch these shows on DVD... But then, I would do the same with American shows, since foreign-ness doesn't really have anything to do with that. Subtitles just help me stay focused on what I'm watching, and prevent me from spacing out and missing a line of dialogue or something. They're also great for shows/movies where, for some reason, the music and sound effects are all so much louder than the dialogue, meaning it's impossible to find a volume level where you can actually hear all the dialogue but the music/sound effects aren't obnoxiously loud. If it weren't for those reasons, though, I'd have no reason to watch Canadian and British shows with subtitles... It's not like there's a language barrier to conquer, anyway. :P Although!! I find it interesting that, on all the Doctor Who DVD's that I've watched with subtitles, the subs all have British spelling instead of American spelling -- which is interesting, since those particular DVD's were specifically intended for a North American release (given the fact that DVD's are region-locked) and there were even ads at the beginning that you could tell were specifically targeted at Americans. Interesting, that.
Also!! I don't like closed captions. I consider them to be a very different thing from proper subtitles. O_O At least in regards to the closed captions that come up on a TV anyway... I just think they're plain ugly-looking -- and, a lot of the time, they're considerably out-of-sync with the words being spoken, which is distracting, and therefore works against the 'keeping me focused' thing that I like subtitles for. So... If I'm watching something on TV, I'd rather have no form of subs/captions than those ugly closed captions... But if I'm watching something on DVD or Netflix? Subtitles are nice sometimes. :P
And if I'm watching something in another language? Then, yeah, I'll use subtitles -- but it's not like I watch non-English stuff on plain TV very often, so ugly closed captions aren't really an issue at that point. :P