I do remember clapping really, really hard when Leo drowned at the end of Titanic.
I had a friend back in high school who actually bawled when Rose threw away the necklace into the sea at the end.
I think films with cult geeky followings like Star Wars and Lord of the Rings follow up with plenty of applause and hollering. I fondly remember having my Dad tag along to watch Star Wars III and him being an old feller, didn't understand why virtually the whole theater was abuzz with Yoda fighting Palpatine. I said something to the effect of, "who wouldn't cheer a little green whuzzit kicking ass". I, for one, find it comical, but I digress. All the while, there was this old guy up front who had a hacking cough throughout the duration of the movie.
Other than that, I haven't seen much applause for any other movie I've gone out to see. As for myself, I'm a pretty reserved person and so no cheering or any of the like during a film.