There are two basic ways of showing subtitles. You can encode the pixels into the video itself. This is called "hardsubbing". The advantage here is the simplicity for the video player, it's just a video stream. The disadvantages are that you had to reencode the video, which takes time, and has some fidelity loss. If you get a better translation, well, it's pixels in the video. And you can only have one language.
What is somewhat better is "softsubbing", which is to have a text file someplace, separate from the video stream. There are many different formats of subtitle files, but at their base they all have "text, start what time, remove what time" at their core. Some have additional features like colors and orientation on the screen. The advantage to this is you can have multiple languages (think of a DVD, you have multiple languages available) and you can fix typos and such in the file. And if you don't need subtitles, well you just turn them off.
Softsubs can either be separate files - most players will automagically look for subtitles with the same name (different extension) as the main video. Or certain container file formats (like MKV) can have them embedded inside. Check out MKVtoolnix (there is a mac port) for MKV file tools. This should let you embed softsubs without reencoding.
Note that not all players can support all formats. My experience is that XBMC has issues with SSA files, but the much simpler SRT files are fine. VLC will play anything, if it's supported on your platform.