In BrE, we say 'the movies', though that is an American import. Otherwise, we'd say 'the cinema' or 'the flicks'. I haven't heard 'movie theater' in the UK.
You can count headaches and colds- you can have a headache every day and several colds a year. however, this isn't always logical- we don't count 'flu'. You'll just have to accept this, I'm afraid.