Apparently you can add captions to your videos using CamStudio. I've got a copy that I downloaded, and the option is there, although I am not sure how to use that option yet. I have to make some screencasts for work, and I want to add captions to them. I've written the scripts, so all I have to do is copy and paste them into the video captioning tool.
Allegedly you can use SMIL with AVI files as well as with RAM. I've used SMIL before, it's great, but I don't know if it works with WMV or SWF.