I piss my wife off quite regularly when watching tv shows and movies as I'm very bad about this. Take <i>Avatar</i> for example.
(SPOILER)When the main character was talking to the colonel in the big mech I told her there would be fight between the main character as a na'vi and the colonel in that mech. When the hero was checking out that giant dinosaur/bird skull I told my wife that he'd bond with one before the end of the movie and be the next big hero. And when Sigourney Weaver was dying and they tried to transfer her to her na'vi body I told her that the hero would end up giving up his human life and become na'vi for real. Is it possible that she saw these things too and that they were pretty obvious for everyone? Absolutely. But I can't resist pointing that stuff out.
But when speculating is part of the show I think it's absolutely required. Just like BoB said, <i>Lost</i> is a perfect example.