Closed Captioned Games

Yes, closed captioning like you have on TV. One such game is Activision's Zork Grand Inquisitor. You're able to turn the captioning on and off, and apparently it's a faithful account of the dialogue (unlike closed captioning on television, but that's another story). The reviewer does point out one lame thing, it doesn't state anywhere on the box that it has this capability.

Activision
Review of the game
For a list of other closed captioned games check out deafweb washington