It depends on your grasp of the language so far.When learning a language and watching DVDs or something in that language, is it better to watch them with English subtitles or without?
If you're a beginner you should probably watch with subs since you can make the connection between certain words easier. It also helps with sentence structure. If you're at least intermediate watch without subs and use a language dictionary to look up words you don't know. At that point I'd suggest pausing the video every couple of lines to check your comprehension.
Oh, and ... you should probably not watch something exciting at first since it can break your concentration.