EDIT: SUP files are supported by all software players I’ve tried, if you mux them into the video (instructions for this are included in the README). Without muxing–i.e. just specifying an external subtitle file, like you do with an SRT–I’d recommend MPC-HC.
Ah, see i only ever tried using them as external subtitles and everything i use doesn’t support them (not a windows user so i don’t use MPC-HC). I will have to try muxing them in sometime!