Yeah it's just a regular old pleasure. Anyone who would judge a person for enjoying movies on their own is an uncultured ass, or does a mighty good impression of one.
I feel like here in Europe people do it more often and it's usually not considered odd. There are just some movies that are better seen alone, and if you're particularly into them, you would be very lucky to have friends who constantly want to see everything with you without worrying about money, time or genre.