I can actually believe Americans would find it "too scary", but I'm not sure if an entire cinema chain would pull the trailer. In the litigation capital of the world, maybe they didn't want to risk a lawsuit from someone claiming mental injury as a result of watching the preview, so it's possible!
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By the way, I didn't watch the trailer as all the TV spots and other previews spoiled Paranormal Activity for me as they showed too much -- and I don't want the same thing to happen to the sequel/follow-up.
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