As I often go to the cinema not knowing what film I am going to see, I have walked out of a couple. The first that comes to mind is Black Hawk Down, which just became too much to stomach for me. The other one was Flight of the Phoenix, which was neither awful nor particularly gruesome, it was just that I felt I knew exactly where the film was going and just decided on a whim that I really didn't need to see all that play out.
I have never walked out of a film that I consciously chose to see at the cinema.
I fell asleep during Fracture (another one of those that was "forced" on me in a Sneak Preview) and Blade Runner (it was the second film of a double feature, and I was too inexperienced to get what was great about the film, I guess).