You can use the idiom more widely than just when at a cinema or a theatre. It means you are excited, or stimulated, but you are generally in a passive state, rather than running around the place. You could be at the edge of your seat at a football match, driving, being a passenger in a plane, at a meeting etc. "It was real edge of the seat stuff, I didn't know what he was going to come out with next" To come out with meaning to say something that would shock or embarrass, and to do so in an unpredictable manner.