I realized, when thinking about the books question, that my parents treated movies somewhat differently: I was only allowed to watch approved R-rated movies until I was something like 15. They approved several, but I needed to keep asking.
I'm not sure why that was. It may be that movies were social events: there's a big difference between having your 14-year-old daughter reading sexual content at home on her own and having her sit next to a boy in a movie theatre and watch sex or highly sexualized situations. I didn't watch movies by myself, and once I wasn't watching them with the folks, either, mostly I was watching them on dates.
It may be that walking out of a movie in the theatre is socially more difficult than setting down a book. (Personally...well, that's varied a lot. I don't recall walking out of any movies. But for awhile I compulsively finished books, too.)
It may be that they felt there was less flexibility with image than with word: that if I was 8 and read a battlefield scene, I might miss or misunderstand a gory metaphor or a medical term, but if I was 8 and watching a battlefield scene, the blown-off head would be blown off right before my eyes. This one is a double-edged sword: the Balrog of my own mind was a million times scarier than the one on the screen in the LotR movies.
It may be that books allow you to process things at your own pace and movies go at their own pace. If you need to set the book down and go cry awhile over Leslie's death, the book will let you. If you're watching a movie at home, you can pause it -- but I think that the activity/passivity is reversed. Pausing the movie is the active choice. Continuing to read the book is the active choice. (Maybe?) And in a theatre, of course, there is no stopping the movie. There have been scenes in books I could not have handled at someone else's pace. There are movies that have left me feeling battered for that reason.
And it may be that you are at least partially complicit in the world of a book. You can choose not to create in your mind the book world in which friends betray each other and lie to each other and hurt each other. You can set it down and deliberately say, no, that is not how things are, you are wrong. I think it takes a bit more to say that to a movie, to people acting on the screen as the director/writer/etc. will have them act.
The times I've had a violent "NO" reaction to movies have been much more violent, even though I love books more, a million times more. "Suicide Kings" made me swear that people are not like that, don't have to be like that, will not be like that at my house. And "What Dreams May Come" -- oh. I watched that not so long after a friend's suicide. And I found myself sobbing and rocking and repeating, "It's not like that, it's not like that, that's not what happened to Stephanie. It's not. It's not. I won't believe it. That movie is wrong." (There's a difference between fictional and wrong. This movie was both.)
(The woman who killed herself in "What Dreams May Come" -- and I do apologize for the spoiler -- is eventually redeemed. But everyone in the movie swears it has never happened before. greykev once suggested that the other characters only said that to spur her husband to greater action, and that the suicides were all saved. I see no internal evidence that this is the case, and it seems like a darn poor motivator to me, and in any case I think someone who feels awful enough to commit suicide does not need further suffering in the technicolor afterlife and should not be subjected to it, by herself or anyone else. And if she is, I certainly don't need to watch it.)
"What Dreams May Come" is PG-13. It didn't affect anyone who recommended it to me the way it affected me. timprov was on the same page as I was while watching it with me (he was the one going, "shhh, no, of course it's not, that movie is wrong"), but my point is that the rating and even recommendations are not always a good way to tell what will or won't disturb you.
When I was little, my daddy called me Sunshine. (Still does, sometimes.) And I would get really upset when he sang the song "You Are My Sunshine." Finally when I was 12 they asked about it and I could explain in retrospect: "Please don't take my Sunshine away." Someone was trying to take me away. And my big strong daddy could do no better than plead? This was serious bad stuff.
You never know what will hit people wrong, kid or adult. Some stuff I can codify: I don't like watching sexual or domestic violence and will avoid it if I can. I don't like nihilism ("Suicide Kings," yep yep). But other things are much quirkier, harder to predict or formulate.
Did your folks treat movies differently than books? If so, how?
Also, have you ever walked out of a movie? Which one, and why?
Are there movies (or books or paintings or any other art form) that affected you in a strong negative way that other people would not or could not have predicted? Anything that has strongly struck you as just plain wrong?