The indoor theater shows (like American Adventure, Little Mermaid, the 3D movies) all have you enter a "holding room, preshow area" and when the doors open into the theater, you will be close to one end of the rows of seats. Their effecient way of loading and unloading attractions means that the exit is set up at the other end of the rows of seats. So when you come into a theater, just follow all the way to the other end of the row and you will automatically be in the seats closest to the exit. All the attractions have marked exits (fire rules), so you will be able to get out.
For COP, there are exit doors at the back of the theater. The theaters spin around, but the only time you would not be able to leave is during the short time when "your" theater is moving around the circle between stages.
For the rides (like Pirates, Small World, etc), they have exits, but since the ride is moving and you are in a ride car; the exits are only accessible if they are stopping the ride for an evacuation. One attraction to be aware of is Ellen's Energy Adventure. The whole experience is long (almost 45 minutes) and thru most of it you are in a ride car that would be difficult to exit. You will see marked exit signs thru the whole show though, if that helps you.