I will usually ask friends if they want to come before I go alone, but if nobody wants to come then I certainly won't miss out on a film I want to see. My boyfriend will usually come with me, so it's only on the very rare occasion that he's busy all week or something that I have to go alone.
I found it a bit odd the first time, and felt like people were staring at me, but then I realised that nobody would actually care, and then I managed to relax.