Any pre-recorded videos that you upload to your site should include captions in order to make it fully accessible to all your visitors. If you are using an external service (eg. Vimeo or YouTube) try to take advantage of all accessibility options the tool provides you with.
YouTube provides captioning services for free, however the captions are done mechanically and therefore are not always accurate. If using this service, begin with the captioning that YouTube provides, download it, fix any errors, and finally re-upload it.
Learning Technology Services (LTS) (email) also provides captioning and transcript services for a fee.