If a coward dies a thousand times, it must be this guy.
In explanation: "the Wilhelm Scream" is a sound effects clip of a man shrieking. It was first used in western movies in the early 1950's. At some point, foley artists-- who put together film sound effects-- made it a running gag and started using it all the time, in dozens, maybe hundreds of films. This piece was created from one of many compilations available on YouTube.
About the bit: it sounds like the scream is on a loop and all the other sounds are tossed over it. Not quite. It's actually a bunch of clips played in sequence, and the screams are all synced to a click track-- which I left in for the rhythm.