She parlayed her Olympic gold medals into quite the movie career in the late 30s and early 40s. I watched many of her films back in the late 80s (probably on American Movie Classics), but they weren't all that memorable. It seems like they were basically formulaic romantic comedies that allowed Henie to showcase her ice skating skills.
As a side note, my grandmother worked as a telephone operator at Bell Telephone back in the 1940s, and the women there listened in on at least one of Sonja Henie's conversations when she was visiting Detroit. Apparently she swore like a sailor.