According to Jim Recap: A Crying Shame
Most women will say that they'd like to have a sensitive man if they have the opportunity, and Cheryl is no exception. She has said more than once that she'd like for Jim to be more sensitive, and that she wants him to be able to cry in front of her. So when they are at the video store, and she wants to rent a sensitive movie and he wants to rent a movie that is, well, less than sensitive, they can't quite agree. They each get their own and that is that. But when Cheryl and Dana go out and Andy wants to watch the movie Cheryl brought home, Jim refuses to watch - until he hears the sounds of gunfire, and then he starts moving closer.
Gradually he gets more and more interested and finally he's hooked. Meanwhile, Andy is bored to the point where he completely falls asleep - and Jim is at the point of tears. But then Cheryl and Dana come home and he can't see the end. When Andy wants to borrow the movie to watch it, Jim won't let him, and before you know it, Jim is busted, because he left the movie in the DVD player so he could pick up where he left off. Then he and Cheryl watch it together, and he's bawling, and from that point on, Cheryl sees him as a big baby. But it's too late - Jim is hooked, and when the sequel comes to town, all four of them go to see it.
In the theater, Jim can't contain himself and neither can Cheryl. She takes him to the lobby and tells him that she just can't take any more of his crying, so he tells her that he's glad to her that she's had enough - so has he. All this time he has just been giving her what she was asking for, to show her what it was like (of course he's lying). They go back in and watch the end - everyone is in tears except for Jim. He fakes losing his keys so he can stay in the theater and cry.
