Bollywood is a very different style, breaking out into song and dance does not work as well over here. You guys are used to seeing it, so it works, but over here, if in the middle of an indie film, they broke out into song and dance, it would take us out of the film. That said, there are some musicals that are very popular, like The Wizard of Oz, and Grease.
For the most part we use scores, and music in the background, which to some cultures may look funny. I can imagine if someone is not used to seeing a film with a score, they will think there is an orchestra somewhere in the scene.