1. What's on at the movies?
2. What's on at the movie theater?
3. What's on at the cinema?
[Can we use all the sentences? Which one is commonly used?]
4. What's on in the movies?
5. What's on in the movie theater?
6. What's on in the cinema?
[If we use 'in' instead of 'at', what is the difference?]
1, 2, and 3 are correct.
4, 5, and 6 are incorrect. We don't use "in" for this purpose.