I've seen videoclips of Chinese tv shows & I've noticed that many of them have Chinese captions.
Is that for the hearing impaired? Or is it that hard to understand spoken Mandarin?

Keep in mind that the majority of Chinese are not native speakers of Standard Mandarin. A massive government survey completed in 2004 found that only 53% of all Chinese can speak Putonghua. Doubtless the number who can understand it is higher, but it's still far from 100%. The figure is highest for urban dwellers and younger portions of the population, who missed having their schooling disrupted by such hiccoughs as the Cultural Revolution or Great Leap Forward.

China's claim to a 90% literacy rate is doubtless exaggerated, but even so there's still a significant number of people who can read Standard Chinese better than they can understand it spoken. That's the case for me, so I very much appreciated the subtitles. In particular, they were indispensable for watching the Opera Channel.

What about for Taiwan? Most people there can understand Standard Mandarin, right?

Most, but again not all, and it may not be the language they are most comfortable in. Unfortunately, I don't of any survey comparable to the one recently conducted in the PRC, but I do know that only 14% of Taiwanese are descended from Mainlanders and the majority of these were not native Mandarin-speakers either. Mandarin has been the primary language of instruction since 1950, but at least 10% of Taiwan's population is over 65 and, thus, whatever primary and secondary schooling they had was in Japanese. I can't find good statistics on educational attainment, but there's doubtless a significant number of people who had some formal exposure to spoken Mandarin, but not enough to truly master it.

Interesting. Thanks for the info.