Death Wail

The "Death Wail". For when words just don't cut it. It's that inarticulate scream of rage and grief when a beloved ally has just become an ex-beloved-ally. It is a sister trope of the Big No, and if done poorly has an extremely good chance of becoming Narm. For the animal variant, see Howl of Sorrow.

Anime and Manga

In Code Geass, Lelouch does this after Shirley dies.
In Death Note, Light fakes one when L dies. Good actor, that one.
In Winter Cicada, Kusaka does this when Akizuki commits suicide.
In Kazemakase Tsukikage Ran, Meow does this when her childhood friend turned drug dealer Mei dies.
In S-Cry-ed, Ryuho does this twice, once at the beginning after his family is killed and again when Scheris dies. Hikaru Midorikawa is excellent with such scenes.
In "Puella Magi Madoka Magica", Homura does an absolutely heartbreaking one when she is forced to kill Madoka in one of the previous timelines.

Fan Fiction

In Ace Combat: The Equestrian War, Derpy does one after Carrot Top dies in her arms.

Film

Michael Corleone's scream in The Godfather when Mary dies was supposedly so primal and intense that the audio had to be cut from the movie.
In Baz Luhrmann's adaptation of Romeo and Juliet, Juliet forgoes her final speech for one of these.
In the Lord of the Rings film, Aragorn lets out one when he finds Merry and Pippin's elven belts on the Orc funeral pyre. They're not actually dead though, as he later deduces from his Ranger tracking skills.
- In Real Life, it was because the actor had just broken his toe on the ork helmet.
- In the Extended Edition, there is a Tear Jerker of a scene where Eomer lets out a howl of grief upon seeing Eowyn apparently dead on the Pellenor fields.
- Also, Treebeard's reaction to the destruction of the woods around Isengard.
Inverted in the Dune Film of the Book (2000 version), where Rabban does this when he realises that he is about to become the metaphorical ex beloved ally.
In A Mighty Heart (an adaptation of the memoirs of Mariane Pearl), there is an incredibly hard to watch scene of Mariane (portrayed by Angelina Jolie) howling in grief after she learns of her husband's death.

Live Action TV

The standard practice when a Klingon dies in Star Trek is for his/her comrades to hold their eyes open while screaming loudly to the sky to warn those in the afterlife that a great warrior is on his/her way to join them.
Claudia does a heart breaking one in Warehouse 13 when she finds Steve's body.
Heartwrenching one when Nikki finds ET on Sea Patrol.

Video Games

In Crisis Core, Cloud gives such a scream when Zack dies.