mp4 and subs, should I burn them in with handbrake?

[Waldoo 14]

I'm going to transcode all my media to the recommended format of mp4 and aac. The problem lies in, I don't know if I should Burn the subs in or do something else?

[FrostByte 5392]

If you like the looks of PGS subs then burning them in would allow you to play your movies without transcoding on more clients.