I've been to a few. I remember taking a cross-country flight to make it home for the midnight screening of the last Harry Potter film with my friends, so they used to be a big deal for me ahaha. I'm glad that most theatres here no longer bother with actual midnight screenings anymore, though. Usually they just have early screenings at 9 or 10 the night before, meaning you can be home and in bed by 1am. I'm old and I don't like staying out that late anymore, so it works out much better hahaha.
That said, I think the last movie I saw a midnight screening for was like... Marvel's Civil War, lol.