Our DS has always been sensitive to movies, and some books as well. We even had to stop reading the "Life of Fred" math book series for a few months after all of Fred's money was stolen.
It is getting a little better with time (he is now 7). He still gets a little emotional, but will continue to watch. The three things that have helped are (1) I have to watch the movie first to make sure everything is okay at the end; (2) Sometimes he watches the first 10 minutes of a movie, then the last 10 minutes, then he can go back and watch the middle; and (3) talking about how movie makers try to make the viewers feel sad/scared/nervous and why.
