Yes, movies contain dynamics. Explosions can be as much as 20dB louder than the average volume, and soft dialogue can be as much as 20dB quieter than the average. So there's potentially as much as a 40dB swing from the quietest sounds to the loudest. 20dB is 100x as much power, and about 7x louder in the way we perceive sound.
Many people, especially young people today, are used to extreme amounts of dynamic compression these days, thanks to the incredibly horrible way music is distributed. Virtually all dynamics have been removed from modern music. Every sound is simply as loud as it can be, so there are no fluctuations.
So when they hear dynamics - where some sounds are quieter than others - they now assume that something is "wrong". It isn't. In real life, there are different volume levels. Movies seek to capture this. And yes, you'll notice that in movie theaters, explosions are WAY louder than just normal dialogue. It's supposed to sound that way at home, too! But again, most people are used to their crappy TV speakers, which only have around 2 Watts to work with, and thus dynamically compress the heck out of everything.
One of the great joys of buying a good sound system is getting that dynamic range back! But how that an entire generation is so used to crappy dynamically compressed quality, they think something is "wrong" when they hear it.
If it's late at night, and the swings in volume are bothering people who are trying to sleep, then fine, compress the dynamics by using the "night mode" on your receiver. But otherwise, nothing is wrong.
