I know I definitely watched movies at a theatre before (back then, movies on US Army posts were free) but the first movie I actually remember watching was Back to the Future 2, at a German kino with my Boy Scout troop. We were on a week long cross country skiing trip across southern Bavaria and that's what our Scoutmasters had planned for our evening activity.
First movie I walked out of, I don't remember but I definitely remember the first movie I got kicked out of. A buddy of mine and I were watching a matinee of Fifth Element at the Royal Crown near Baltimore. We were the only guys in the theater other than a few random scattered folks. The usher came by at one point to tell us to put our feet down, which we'd had propped up between the seats. A while later, the usher comes back and tells us to put our feet down again. Which we did, after bitching about how no one is around and how we're not bothering anyone. A while later, the usher comes by again and tells us to please come out of the theater. We comply and when we come out, we're met by two cops. Long story short, we argued for a refund and got it and right as we're actually escorted out of the theater, another squad car shows up with two more cops. I distinctly remember saying, "What is this, backup?" Four Baltimore cops to escort two Johns Hopkins students out of a theater for having their feet up while watching an afternoon movie. Really?