Go into Options, then select the Audio tab. At the bottom is a check box marked "Subtitles".
Make sure that's marked. Should be good to go.
I've noticed though that it's best to set your options from the main menu (Before starting or resuming a game). Some can't be changed once a game starts, and others don't seem to "stick". But if you do them from main menu should be no problem.
Meow.... er, I mean... BOO! Yeah.. that must be it. >^,,^<