In most cases, you'd be right: the definite article indicates that the following noun has been introduced previously or is in some other way within the semantic ‘scope’ of the discourse.
This is a somewhat special case, though, since the movies (apart from just being the definite plural of ‘movie’ as in the movies I rented last week are overdue) has a separate and specific meaning: cinema(s).
If you go to the movies, you are specifically not watching a movie at home, but in a movie theatre/cinema. In this sense, the movies is an originally synecdochical reference to the movies watched there, but it serves now as a simple reference to cinemas—often with singular agreement:
The movies is my favourite thing in the world!
So here, the character could just as well have said:
If there's one thing I hate, it's cinemas.
(Note the lack of an article when using a different word.)
It just happens that, for whatever reason, the movies was lexicalised in the definite form alone. “If there's one thing I hate, it's movies” is of course also a perfectly correct sentence, but it means something slightly different.