Is it normal to have an urge to scream?

I don't know about everyone else, but I scream for ice cream. (someone had to say it)

oh wow

It is actually entirely normal. The ability to have and stuff down feelings is part of what makes us human, along with the extreme desire to express them. There is actually a form of therapy that is usually done in groups where all people do is literally scream at the top of their lungs. This can go on for minutes or hours and slowly people stop and may trickle away from the group. It's said to have a good release effect but I've never been, although I've had a therapeutic group leader who has and he quite enjoyed it. Some people just want to scream sometimes. As long as you do it away from people (so as not to startle them), not at someone, and you aren't some kind of singer, there really is no physical harm done. Just don't let it become a habitual response to every emotionally aggravating situation and you're probably good (because that could lead to yelling AT people which is bad).
Screaming alone in some woods might be fun. It's also an unexpected way to bring someone into your world. Like hanging out with a new friend or person you like, telling them about it, then going someone more private outside and doing it while they're with you. Gets quite a laugh and feels good at the same time :)

Scream and get all that pent up rage out.

Then do it!