"I go to the movie theater often."
"de" = action IN location
"ni" = action TO location
"e" (he) = TOWARDS direction, TO non-final location, TO general area
Kouen de sanpu (a walk IN the park)
Kouen ni ikimasu (go TO the park)
Kouen e ikimasu (go TO the park - then maybe somewhere else after)
I'm told that in most cases, "ni" and "e" can be interchangeable and that locals tend to use "ni" more in conversations.
It is wrong. Particles will always apply to the word that directly precedes them. に is a location particle, indicating the target of a motion verb (in this case 行く). If you write よくに however, よく becomes the target instead of えいがかん. I guess the English equivalent would be saying something like "I go to the often cinema" instead of "I go to the cinema often". Hope that makes sense.
で expresses location. eg: 学校で = at school
に, like へ, expresses direction. eg: 学校に行きます。= I go to school.
But be careful: に can also be used to express location with verbs like います, while it can also be used to express time (eg: 六時に = at 6 o'clock).
I hope this helps. :-)