Joseph Demme has put together this excellent 12-minute video supercut compilation of several Wilhelm Screams that has been heard in movies in the last few decades.

The Wilhelm Scream as defined by Wiki:
The Wilhelm scream is a film and television stock sound effect first used in 1951 for the film Distant Drums. The effect gained new popularity (its use often becoming an in-joke) after it was used in Star Wars and many other blockbuster films as well as television programs and video games. The scream is often used when someone is shot, falls from a great height, or is thrown from an explosion.

Source: SlashFilm