They only play on your first transitions between acts on each character,if I recall. The CGI movies anyhow.Which usually means just playing through normal difficulty. The parchment/pencil drawing cutscenes always play.
However,I too have wanted to watch the cinematics outside of being in the game itself,and every now and then they'll come up missing. Doing a search of the forums led me to this gem over on the tech support forums,and it works perfectly. In fact... it unlocks one or two cinematics/cutscens that don't play in the normal course of events.
Threats of violence. We take these seriously and will alert the proper authorities.
Posts containing personal information about other players. This includes physical addresses, e-mail addresses, phone numbers, and inappropriate photos and/or videos.
Harassing or discriminatory language. This will not be tolerated.