Our bodies like a bit of pressure, and we've become so set in our ways that we're really only comfortable at normal earth atmospheric levels. This stubborness to quickly adapt proves fatal when recklessly exploring new environments.
Pressure can kill us if it is too high or too low. In films, high pressure deaths are quite rare. This is unsurprising, as it isn't the easiest of deaths to engineer. By the time you've descended deep enough into a liquid for the pressure to kill you, the chances are you've already drowned. Likewise, there aren't really all that many villains about who have their own hyperbolic pressure chamber with which to torment their victims.
Low pressure, or death by decompression is far more common, as it is very easily achieved by simply stepping out into space without a pressure suit.
The hobby of diving is of course the cheapest way for land-bound people to mess themselves up with Pressure. Not only can you slowly crush yourself by going down to ill-advised depths, but coming back up again too quickly can result in decompression sickness (also known as "the bends" due to the contorted shapes victims' bodies take).
The effects of high pressure can also result in nitrogen narcosis or "rapture of the deep". This causes symptoms akin to being utterly pissed. Although it is true if you are diving you are unlikely to get into a drunken brawl with a passing tramp, being 50 metres underwater generally has it's own unique dangers, so this is still a euphoric high best avoided.
An interesting variation to a low pressure death is when the air within the body expands so violently that it ruptures the skin and vital organs. This is known as explosive decompression - film directors usually like to show this by having the victim's eyes google out of their skull in an amusing but implausible manner.

Related links:
Human Exposure to Vacuum, an essay by Geoffrey A. Landis (discusses the realism of Arthur C Clarke's 2001: A Space Odyssey): [www.sff.net]
Diving Safety and Medical Treatments: [www.iaff.org]