The only time I left was as a child, watching Babe. I was bored stiff and didn't want to watch it anymore, so my mum took me out. As an adult I was very tempted to leave District 9 because I hated it so much, but I didn't because I was with someone else. Turns out they hated it just as much, so it wouldn't have been a problem leaving.
I walked out on Crimson Tides because it was absolutely THE most boring thing I'd ever seen. I definitely change the channel if something is terrible, and I had no trouble walking out on CT because I hadn't paid for the tickets, but if I'd bought tickets I might have felt like I should stay.
Of course if I am at home, I would switch it off - I would not watch a boring movie! I spend a lot of time switching off or changing channels due to so many very boring things.
I think I have only ever walked out of about 2 or 3 movies and the only one I still remember was one of the Batman ones for which I lasted about 30 minutes, and looked at my partner, and we both got up!