Oh my gosh, Marley and Me... Funny story.
I went to see that with my mother, my aunt and her daughter/my cousin. The 'rents sat across the theater from my cousin and I as it was packed, and at the very end of the movie, I heard my mom sob all the way across the theater. When it was over, I was the only one in the group who wasn't crying, and I think I got the word "heartless" thrown at me.
So, to answer the question, I generally don't cry at movies. There have been movies that have brought me almost to tears, but I've never really cried. The last one that almost got me was Boy in the Striped Pyjamas at the end when the mother was screaming and crying.