How to place subfigure caption on the side?

The subcaption package offers a command called \subcaption which typesets a sub-caption alone and has the same syntax as \caption. You can place this command where you want, i.e. also beside a figure.

Addendum 2011-01-19, Example code:

\documentclass{article}
\usepackage{caption,subcaption}
\begin{document}
\begin{figure}
\parbox[b]{.5\linewidth}{\Large
Insert picture here --
Insert picture here --
Insert picture here --
Insert picture here}%
\hspace{.1\linewidth}%
\parbox[b]{.4\linewidth}{%
\subcaption{This is just a short document to show that
we can place the sub-caption where we want to.}}
\caption{Main caption.}
\end{figure}
\end{document}

Furthermore the floatrow package offers stuff like that (and more).