I wound up asking once on my blog how many women actually scream when frightened or otherwise provoked -- meaning full-on movie screaming, as opposed to a yelp or some other sound. Turns out some of 'em do! It has always seemed utterly fake to me, but for some people it's a natural reaction, or at least learned so early it feels natural.

The thing that provoked me into asking this was when my husband accidentally kicked me in a badly-sprained toe, causing a sudden, severe, and completely unexpected spike of pain. I yelled, but I didn't scream. For yea verily, I come from a Stoic People (Scandinavian on my mother's side, and I imprinted). One time I managed to annoy my husband because I'd said I would drive someone home that night, but asked him to do it instead because "I'm not feeling all that well." While he was gone I started puking into the toilet, in the first stomach flu of my life. He's got practice in translating Me to Normative English, but even then didn't realize on that occasion what "I'm not feeling all that well" signified.

But it's like asakiyume said above: this kind of thing is very culturally determined, in addition to being individual.