We're making games, not movies ... The difference is obvious and lies in the fact that movies do not have interaction in it. '1st person' movies are quite rare, and often they don't feel quite right.
The problem with depth of field is, that it's best when it's hardly noticable. Check the first screenshot I've posted from that xbox game. The depth of field there perhaps adds to the atmosphere, but it's not that noticable ingame, because of the distance and the correct focus range.
The last screenshot posted from ChrisB's depth of field demo shows the overall problem with the effect, the glass statue get's a blur too, eventhough it's well within the focus range judged from the blur in the distance. You can change the sliders what you want, but I couldn't get it right by changing the sliders.
I have to agree with Damocles, it's not a 'must' at all to have DOF in games. It's a neat feature, but only if it works like the screenshot I've posted earlier, barely noticable, because it's extremely smooth.
Btw. don't take any of this as critics, I'm probably just kinda frustrated because I can't get a DOF effect done properly myself hahaha.
Cheers