I skipped about 200 pages of Gravity's Rainbow (towards the middle) and it didn't really affect my comprehension of the novel one way or the other. I've read a few of Pynchon's other books - in general, I like the shorter ones better. War and Peace has been sitting at my bedside table for about two years, with a bookmark at around page 160.
I've walked out of/stopped watching many, many films, but usually I feel like I've defeated them rather than vice versa.
I fell asleep during The Fog of War, to my shame.