I've learned about this a while ago (also via a comment), but, I've never turned it on; I like just watching it silently and going "Aaaah he's making an <x>!".

I usually watch the video twice, first with no captions and second with them on. I also like trying to figure out what he's doing in each part, but he uses the captions to explain a lot of interesting things that I didn't catch/understand.

Oh crap I didn't know that now I have to watch them all again! Thanks!

This reminds me a little of the surprise it was when I found that xkcd has mouseover comments that can be ridiculously funny.

It seems like some YouTube videos have captions on by default. Maybe he should turn that on.

Curiously I don't see any captions since some time, even though I haven't touched any settings anywhere.