Not everyone will react positively to "saying something." Years ago, when I went to see Dances With Wolves (it had just come out), some guy came in late, ie 10 minutes into the movie, and as he joined his friends who were already seated, they all started talking loudly. Late Guy was talking in a loud voice, "I drove around and around for parking, blah blah blah.....!!" and finally someone in the seat behind said, "Can you be quiet please? We're watching the movie." Late guy stared at his friend and then said, "Don't worry about it" and continued his loud conversation. The woman behind was very annoyed at this point and said, "Look...I paid good money to see the movie, and you guys are being disruptive." Late guy looked back and said, "Look, shut the expletive up!" at which point I said, "Charming." For that I was called a female dog.
For the most part though, I agree that a polite request to stop a behaviour is more likely to get results than a "look." I just find it astonishing that people need to be told not to talk or rustle candy wrappers in theaters though.