I started to learn English by watching some English series and movies like most beginners. But just simple sitcoms like Friends, or TV shows for kids lol.
Soon I got tired of these videos and even wanted to quit. Then someone encouraged me to watch more dramas of different genres with the help of subtitles.
And during the process, I have gathered many subtitles sites with large file repository. If anyone wants to know more about this, feel free to ask me 
Do you feel any difference in listening if you watch the same movie with subtitles on and without subtitles?
In your opinion, which way of listening/watching is more effective?
I have to say, watching a movie with subtitles for one time brings nothing but fun.
To learn English effectively, I need to watch it with subtitles gain and again. When I was bored of the plot, then I would focus on the language, e.g. phrases, slang, grammar, etc.
As for me, I can’t watch movies with subtitles at all. It is hard to pay attention to the picture and the text at the same time. My brain gets too overloaded trying to hold everything together. I’d rather watch a movie without translation and try to train my comprehension, listening carefully and guessing the meaning if needed.