With most films I find that it's very hard for me to pay attention for the first 10-20 minutes, then I pass that point and I'm invested.
It's something like hypnosis, I'd say.
In cinemas I almost always spend the first 10 minutes of the film getting annoyed about other people in the audience, or just being conscious of something annoying, or just wanting to do something else... And then, if the film's good, I'll get sucked in and forget about everything else.
And then walk out of the cinema 2 hours later with this pleasing feeling that I'm in a film. Visual receptors juiced up to the max.