Indeed, no subtitles in the movies, which can pose a problem with the not-so-fluent spanish speaking girlfriend. Been through that already
Haven't tried playing the movies thorugh VLC though, if that is possible then you could include your own subtitles
You could add your own spanish subtitles to the iTunes movies. there are plenty of .srt and other types of subtitle files out there on the net for most films.
This used to be one area where Windows is better than OSX, as there are many many fansub applications and viewers out there.
On the mac side, the choice is limited but now improving. VLC (for watching films with separate sub files) used to have bugs in its subtitle handling, but is now much better - make sure you're using the latest version.