In case you are interested, I just published a "How to" video in my podcast. It shows how you can caption your videos in a three-step process. It will be available in SD and HD. The video itself is closed-captioned. Hope you like it. You can subscribe and download it at
http://phobos.apple.com/WebObjects/MZStore.woa/wa/viewPodcast?id=123401561
When I released a sample video, I got a few reports that they were not showing up with the Classic. It makes sense that these may not show up on the screen (it is too small), but the CC were not displayed with the video out connector either. It does work fine with the iPhone so I assume that it may also work with the Touch.
The tutorial doesn't cover everything but I have to add that if you (somehow) have an SCC file of the movie captions, you can embed them when you compress it with Compressor 3. Other solutions are not "closed" as they "burn" them to the video... hope you'll enjoy the tutorial.