From the FCC-Consumer News, Consumer Advisorys on DTVs and captioning:

The Federal Communications Commission (FCC) is concerned that consumers may experience difficulty in receiving and/or viewing closed captioning on some digital television (DTV) programming, including high definition television (HDTV), provided by a programming distributor such as a cable company or a satellite television provider. These difficulties generally could arise from two causes: 1) the consumer’s set-top box and/or DTV are not properly set to allow closed captions to be displayed; or 2) there are technical problems with the cable or satellite provider’s system that prevent closed captions from being received and decoded by the set-top box and/or DTV.

Read the FCC Consumer Advisory, Closed Captioning for Digital Television (DTV) for more information.  

Another FCC consumer advisory, Buying the Right TV: What Every Consumer Should Know, provides basic guidance on purchasing a new DTV and links to other helpful resources.