We normally sneak in candy since they sell the boxes at Walmart and the grocery store for $1 instead of whatever they charge at the theater. Its already $10 for a ticket. The big fancy theater near us is more retentive about outside food, the cheap second run movie theater doesn't mind much. We've bought in a Mcdonald's bag with an entire meal and not gotten asked anything except "where's ours"
Its run by mostly teenangers though so they understand and they make money based on quantity of tickets, not concessions.