Wow. Some good words here with subtle differences, but I'll do my best.
Yell ('Cry' can be used here as well) - An emotional outburst following a fright, surprise, or pain. "Holy pumpernickel!! Where did THAT come from!?" or "Ow! That hurts!"
Shout - Speak loudly in order to be heard over a distance or over ambient noise. "Can you hear me!?" or "Hey, John! Wait for me!"
Scream - Hysterical or uncontrolled shouting or yelling.
Within a narrative, especially during a heated argument, the three are often used interchangeably.
Cry - To sob or shed tears as a result of some discomfort (pain, hunger, thirst, grief, sorrow, etc.) "The baby's cry woke us up. It was time for his two o'clock feeding."
Weep - To sob or shed tears, usually as a result of sadness. "Cindy wept when she dropped her ice cream cone on the floor."
Scream - Hysterical or uncontrolled crying. "Jimmy screamed and rolled on the ground because his mother wouldn't buy him a new cell phone." or "Billy screamed in terror when lightning struck the tree outside his bedroom window."
