I'm curious, what's the difference between these types of activities and ones where you can understand other people enjoying?
Not entirely. I do have trouble understanding "art" of the $12 Million Stuffed Shark variety http://www.amazon.com/Million-Stuffed-Shark-Economics-Contemporary/dp/0230620590 but I think any sane person does. What I don't understand is how one gets pleasure from going to look at art in a crowded museum or gallery, where you'd better take a pair of binoculars if you want a good view.
Likewise, if you enjoy film (I mostly don't, for a variety of reasons) then AFAIK Netflix will deliver just about anywhere. Likewise just about any music can be purchased and listened to at your own convenience, without the numerous distractions of a crowd.
See, I think all these things just fall under, "I don't like these things myself, but I can understand that other people might enjoy them."
The key word here I think is 'understand'. Here, I don't use it in the sense that I know what the processes and reasoning that lead to people enjoying them, such as in how one would understand why the sky is blue. I use it more in the sense of, "People have different preferences, some (most) of which are inexplicable to me."
Because frankly, I don't see much difference between the types of activities in your third category and ones you say you can understand people enjoying, i.e. line dancing, skydiving, etc. It all boils down to people like different things.
I do have some sense of understanding when it comes to live concerts, watching film at a theater or similarly large screen, versus enjoying them quietly at home. Even as someone who hates to be in a crowd, I still enjoy watching some movies in the theater. I feel like there's a bit of immersion, and some things are really better seen in a wall-size screen (which most people don't have at home... yet).
Live concerts also provide a different experience than listening a CD at home, even with excellent sound system. With good performers, there's just a feel that you're awash in a great lively vibe when you're in the concert. Of course, if your preference is classical, I can see how the difference between live classical concert and recording may just be the quality of the music, and not necessarily the feel of the surrounding (as would be true in say, rock concert, for example).