No advice, but my son (5.5) is like that too. He spends a significant amount of movie time hiding under the dining table (for childrens movies like Ponyo/Finding Nemo/Snow White). He does this even when its the fifth or sixth time he's watching the movie and he LOVES the movie. My 3 year old, on the other hand, happily watches anything.
He won't read scary stuff either, though he is getting a little better with this. He just started reading Magic Treehouse books last week, for a year and a half he declared them "too scary"
For the record, I invariably cry during movies, even bad ones. I've recently and after a LOT of effort stopped tearing up when I read out some good childrens books
DS hasnt been shown any movies at school, so I dont know how he would react, but we sure aren't taking him to a movie theater for many many years!
