Never walked out of a cinema, but I've stopped videos - Tank Girl comes to mind. Also never made it all the way through Romancing the Stone.
I've only ever seen people walk out of a cinema 3 times - A Zed and Two Noughts and The Cook the Theif His Wife and Her Lover - both Peter Greenaway films and the walkouts probably due to the violence and images of rotting animal corpses, and then Breaking the Waves. All 3 are great films.
Just remembered - a date insisted that we leave Leaving Las Vegas, so I have actually walked out of a film. She said it was too violent. The other films to chhose from at the cinema were Casino and Jumanji, so I ended up watching Jumanji which I'd already seen the previous week (and it doesn't stand up to a second viewing). I was finding Leaving Las Vegas very tedious and might even have walked out of my own accord.