I switched them on during my first playthrough, but have since turned them back off.
Though I usually prefer subtitles being on for convenience's sake in other games, they just seem to detract from the atmosphere in this one (the PA system in particular just doesn't seem as "authentic" when you can see the words instantly on the screen below you, as do the interview tapes).
I guess I can see now why they weren't on by default.
Anyways, your thoughts? --- No one cares what you are currently playing.