"Nach" is chiefly used for continents, countries, cities, regions, etc; all larger scale locations, such as your example: "nach München." "Zu" is used for smaller scale locations or toward people. For example: "I'm going to the doctor today." = "Ich gehe heute zum Arzt." "Ich gehe zum Bahnhof." Both of the above examples use "zum," but that is only because of the gender of the articles. Since "zu" is a dative case preposition, masculine or neuter nouns become "dem." So you could potentially say "Ich gehe heute zu dem Arzt," but "zu dem" is more commonly contracted to "zum." Here is another example: "I'm going to the bathroom/toilet." = "Ich gehe zur toilette." Since it is "die toilette," when paired with "zu," "die" changes to "der" and is then contracted to "zur." "In" is used when you are entering a particular location. As in your example, you say "ins Kino." the original form is "das Kino" and when paired with "in," the "in das" contracts to "ins." For "in," that "ins" is the only possible contraction. For the other articles, it would simple be "in der" or "in die." There is an exception to the above in which for countries, you would use "nach," however, if the name of the country contains an article, then you would use "in." For example: "Ich fahre in die Schweiz." Does all of this make sense? Please let me know if you need any clarification.

Different prepositions are used with going different places in German. It has nothing to do with the use of an article or not. That's one of the niggling little things about German that doesn't always fit into neat boxes. You rather have to learn the right preposition by heart. (although, as Lee points out, there are some large generalizations...but there are also many exceptions) For example: in --> cinema, theater auf --> concert, party Wir gehen ins Kino. (exactly: to the movie theater) Wir gehen ins Theater. Wir gehen aufs Konzert. (auf + das = aufs) Wir gehen auf die Fete. With my feeling for the language, 'Ich gehe zum Kino' would mean 'I'm going to where the movie theater is". You would mean the building. But, "Ich gehe ins Kino heute Abend" would mean you are going to see a movie at the movie theater tonight. And 'Ich gehe zum Theater" would either mean the actual theater building...or that you are going to quit your job and become an actor. But 'Ich gehe ins Theater" means you are going to see a play at a play house. Those are little subtle differences that defy any real, logical classification. Sometimes you do have alternatives. As with Lee's example "Ich gehe zur Toilette". You can also say "Ich gehe auf die Toilette' which is similar to the most common way to say that: "Ich gehe aufs Klo". And if we are totally honest, we can also say that 'ins Konzert' or 'zum Konzert' is also used...however, those usages carry some slight variations in feeling/meaning than the standard 'aufs Konzert'. Your best bet: learn the standard forms from a book on German grammar. Ins Kino, aufs Konzert, nach Hause, zum Arzt. (all meaning 'to' a place) But realize those are only standard use, and there could be alternatives. It's not always as set in stone as it looks!