Read my Cutting the cable cord guide. I canceled cable over a year ago. It's not for everyone. Live sports nuts wouldn't be able to do it easily, but others should manage fine. Even most new TV shows are accessable the next day for purchase via Amazon's Video On Demand Service. I have 3 new shows I subscribe to via this service at $1.89 an episode. Still far cheaper than the $70 a month I was paying for cable. I could buy a New Roku every month for what cable was costing me. Now I can afford other things. I would suggest trying the Roku and seeing what all is available.
I don't think you're missing anything. The reason why I purchased Netflix is the CC feature. I wrote to Amazon about their lack of CC capabilities a year or so ago and all I received was a confirmation that CC was not available. This is unconscionable. There is a new law, however, that is going to require all electronic video devices to include CC by the year 2015. Hopefully, Amazon rectifies this glaring flaw before then.
Not directly. You would have to use a powerful Plex Media Server to transcode the video using the Hulu channel for Plex, and using the Plex Roku app to watch it. (In other words, not worth it for most people!)
The Roku allows you to set its output to match your display type, i.e. HD is 16x9 widescreen, SD 4x3, and SD 16x9 widescreen. A standard definition program will appropriately keep its aspect ratio when viewed on a widescreen monitor and appear with black "pillar" bars on either side. You can't force a picture that was filmed in one aspect ration to be shown in another unless you use your television's picture mode to stretch or distort the picture.