Aside from getting regular doses of it, some people just are more tolerant. The biggest misconception about pepperspray is that it is "mace".
One movie that matches the scene you are talking about is "Under Siege II" with Steven Seagal. Sarah Ryback, played by Katherine Heigl, sprays one of the mercanaries in the face and says, "Mace!" He grabe it from her, sprays it in his own mouth, and replies, "Pepper spray. For civillians. Just clears the sinuses." (Or something to that effect.)