I agree the best way to experience a film is to just let go and go for the ride, but sometimes (especially if it's something I plan on reviewing) I have to watch things with a bit more of a critical eye, and sometimes it's really hard to shut that off.
With some movies, I can do both, enjoy the ride I'm being taken on, while keeping short mental notes of what I think of various things, but most often I try roll with the movie and keep the critic on the back burner.
If I'm seeing a movie in the theater, I find it much easier to just settle in and roll with what's happening, but if the movie isn't keeping me totally enamored (which lets be honest, happens with even the best movies) I can get a little critical.
Best example was when I went to see "The Dark Knight", at first I thought "Jesus, this is kinda silly, I mean I'm watching a movie about a guy dressed up as a bat, fighting crime" and then I got swept up in everything and was lost in the movie.
Sometimes it's those crucial first few minutes of a film that can make the difference of whether or not I'm totally immersed or not.