I've done it only once and it was a long, long time ago. My friend and I walked out of Hot Shots! Part Deux. It wasn't really out of protest, though. We just weren't enjoying the movie and wanted to spend the time perusing the shopping center's music store, instead.
I've always been pretty selective with which movies I go to the theater for, but, before the internet, it wasn't always easy to find reviews. If I missed the review in the newspaper or missed the episode of Siskel & Ebert on TV, I might take a chance and go in blind. Nowadays, it's incredibly easy to check reviews, even on a phone. I won't see anything without doing so, so I'm never so disappointed any more that I would get up and leave.