I live in the States, so I am not sure, but I believe TG4 has Irish subtitles for certain shows. There is an explanation of this on their website, if I recall. I think for many shows it is unavailable but on some it is and on some only on re-runs. I believe Ros na Rún, for example, has Irish subtitles available.
Personally, I think this is one of the big missing links for Irish learners in general. As much Irish media as possible should have the Irish subtitles. When learning, the English subtitles really only provide minimal benefit once you reach a certain level.
There are some videos on Youtube that have Irish subtitles (Scéal an Lae and Grá faoi Ghlas), some of which I contributed to myself. Also, the DVD for Cré na Cille has Irish subtitles.