Both approaches have +/-; it's a lot of fun to go with a group of friends and see a good movie, laugh/shout/shiver together, discuss afterwards. But it's also very important for me to see some movies alone, so that I can concentrate on them completely and even forget that anything outside of them exists. I'm capable of going out of the theater still fully into the story for a few hours. This kind of experience interests me, and so I more often go alone. Going with friends is mostly for fun, occasionally on a date, but I wouldn't pick a movie that really matters to me a great deal (or I expect so); or if I do I should have seen it already.
edit:
I should clarify, I prefer dramatic movies, and compare the experience with going to the theather (not the movie theather, you know, the one with stage actors). For appreciating such performances, personal concentration is more important.