To me, it does seem like an American thing (American myself), because based on everything I've heard, cheering in a movie theater seems to be frowned upon in the rest of the world.
Cheering just seems to be an accepted staple of most American live entertainment events. Sports, cinema, theater, concerts, etc.. The only exceptions to this are depending on the genre of the entertainment (you don't hear much cheering at the end of 12 Years a Slave, or inbetween movements at a classical symphony performance).
I can be annoyed with it if its too frequent, and especially if it lasts long enough to drown out whatever I'm supposed to be hearing.
Two examples, one good, one bad:
At one of the Legend of Zelda symphonies tour (I think Symphony of the Goddess), I believe Satoru Iwata of Nintendo was at one of the American performances and found it cringe worthy with the constant cheering whenever a new favorite song started to play. I can agree with that reaction, because hearing a legion of fans, male and female, whooping loudly because the somber opening to Majora's Mask started to be played REALLY pisses me off, especially because it drowns out the orchestra. (I know cultural differences also played a part, since in several Asian countries, good performances are to be responded with silence)
On the other hand, the audiences' reactions when I saw 300 in theaters with a group of friends made it so much more enjoyable. Personally, that's a kind of movie where the cheering seemed to highlight the cool parts of the movie. Yeah, it also kinda highlighted the machismo, but I honestly thought it was more fun that way for this movie. (I know tastes differ, but I think the movie is fun). The part that especially got them was when the Queen of Sparta gutted the asshole who raped and betrayed her. Everyone in the theater shouted "YEAH!!".