Never at a professional show. I once left at a high school performance of "It's A Wonderful Life", because it was SO BORING! (That performance of it, I love the story). I considered leaving at "Footloose", but the 2nd act, in my opinion was better than the 1st, but I don't think it's a good show. I've seen people walk out at "Cats", "Miss Saigon", "Legally Blonde", and I've heard of people leaving at "Avenue Q" and "Spring Awakening".
Only once, at a regional-theatre performance of GYPSY. I've had to do/sit through so many bad shows I can take a lot of garbage, but this went over the top. The Mama Rose appeared to be on Lithium and was half-belting, half-mixing the songs, and during "Everything's Comin' Up Roses", Herbie and Louise started talking and laughing to each other in the background--not even pretending to listen to her! (Not that I blame them, but could anything be more inappropriate?) I just couldn't stand to hear her butcher "Rose's Turn" in the same way, so I ran for it.
I ask in all honesty/What would life be?/Without a song and a dance, what are we?/So I say "Thank you for the music/For giving it to me."
I've never actually done it before, but there are a few times where I wanted to. Most recently at a performance of The Wedding Singer tour in Baltimore. The grating synthesized 80's -style music was just grinding on my nerves and I really wasn't getting into it at all. I seriously considered leaving and going to the mall a few blocks away and telling my friend to just call me when the show was over. I decided to stay, but it wasn't easy to endure!
"You drank a charm to kill John Proctor's wife! You drank a charm to kill Goody Proctor!" - Betty Parris to Abigail Williams in Arthur Miller's The Crucible