I don't know if this counts, but my wife and I once walked out of an opera. Now, we both happen to like (some) operas, and this was Beethoven's only opera, Fidelio. But they did what's called a Regietheater production--meaning the stage director decided "To hell with the music and the text; I'll do what I want, none of it will make sense to you, and I'm getting paid a ton, so fuck you all!" The lead, a resistance fighter in effect, who isn't supposed to appear in act I (to make his appearance more startling in act II), nonetheless wandered around stage dressed in a robe with a giant flashing neon cross-in-heart on his chest. Instead of everyone being dressed in period costuming, we got to watch young women cracking gum and wheeling baby carriages, while guys in black suits, with sunglasses, wielded Uzis. Nobody looked at anyone else. I laughed for a bit, then found the unintentional humor monotonous, so we walked out.
Only thing I've ever walked out on. Though a few other things were once or twice kind of close.