Every iPod sells in Word-wide comes with Built-in Multi-language User Interface
No matter you buy it from U.S or J.P, it would have both T. Chinese and S. Chinese.
If you mean Subtitles of Videos, if the subtitles is built-in on the video itself, then it doesn't matter what language is it, it is being treated as part of the video pictures itself.
The New Flying MacBook Pro; Seatbelts sold Separately!
US prices for iPod is *usually* cheaper (not always). You can also save money by not ordering directly from Apple, because some online merchants offer rebates (e.g. macconnection.com).
You can also avoid sales tax by ordering from an out-of-state online merchant. Apple store charges sales tax if you live in CA.
You get free engraving by ordering from Apple.com, as you mentioned. That's one advantage you won't find anywhere else, including Apple Taiwan.