I've been to a few premières through a past job, so I don't count those, nor ones where the filmmakers are present at the screening, as that's just politeness, but I have seen it sometimes (UK)

Movies where I've seen this happen (and it felt right):

• South Park: Bigger, Longer and Uncut
• Grosse Pointe Blank
• Goodfellas
• The Big Lebowski
• Stop Making Sense (special open air screening which was set up like a gig - they even had support acts!)
• Ghostbusters
• The Room
• Aliens
• All three LOTR movies

In most cases these were either screenings with a big student crowd, or retrospective screenings which will always bring out the fans, and the atmosphere was really positive, so the applause felt, like a collective acknowledgement of, "How fucking great was THAT?!"

It's a bit odd to see it at other times, but if someone has had that good a time at a movie, then great! I'm certainly not going to have a problem with it :-)