Is it normal to scream in your sleep

From a very young age, Ive had problems with sleeping. Ive had sleep paralysis, lucid dreams and to this day I have a lot of nightmares. These are all things that I know a lot of people experience. However, Ive never heard of someone who screams in their sleep.
Since a young age I scream in my sleep, and when I do i sit right up in my bed and my eyes are sometimes open. This is usually when someone comes into the room, or when there's a loud noise. After that I just continue sleeping. I never remember doing this, but ive heard from several people that I do this (parents, friends,roommates, boyfriend). Ive always wondered what this is but im too emberassed to go ask my doctor or something, because i fear he'll say this is really abnormal.