its in the script

Why is it in movies when someone is being held by the BIG BAD and they
are in a locked room with no way out they tend to fixate on the door?
"OH gosh! This room has no windows and the only way out is the way I
came in!!"

Bullshit

Why don't they just go through the wall? I have seen room walls, I have
made room walls and I have taken down room walls. 

Granted I am not speaking of a basement. If it is a basement then yes,
you are indeed screwed.

However, Drywall is not that big of a barrier.

 I have broken more than my share of it purely on accident.

Captured by a mad man and locked in a room I think I could easily find
the strength to bust open the wall! You can punch/kick a hole in drywall
or at least bust up a chair to use as a tool!

Come on if a chimp can make a tool to eat you can too to survive?

Ok that puts us up against the 2x4s. 

Have you seen the spacing on these?

Even a large Norwegian man with excessive back hair can make it between
the studs!

OK so that leaves the outer wall. Plywood.

Granted plywood can create a barrier but we are talking about some
really BIG sheets.

Excessive ritualistic pounding in one spot is going to crack it and
eventually break it not to mention where the pieces join will unjoin if
you are excessive enough.

That leaves the outside wall.

Lets be easy here and call it siding.

If you can make it through the plywood then the siding will not pose an
issue for you

Remember you have all that adrenaline pumping through your system.

I say if you are really cooking you could be outside in under an hour
maybe even 30 minutes.

Granted this will make a heck of a lotta noise and won't be easy but if
you are trapped with no way out what else are you going to do? 

Watch Oprah?