YanniD said:

HD-DVD had a really great feature that allowed external subtitles and even soundtracks to be incorporated into the movie on the primary disc, without them having to be on the primary disc. I really miss that flexibility with Bluray.

Blu-ray can do this as well, the Gundam Unicorn BD Live features had downloadable commentary audio+subitles, although they were only available for a limited time on each disc.

You can also do similar things with unofficial sources using MPC.