I'll let Wikipedia explain: The Wilhelm scream is a frequently-used film and television stock sound effect first used in 1951 for the film Distant Drums. The effect gained new popularity (its use often becoming an in-joke) after it was used in Star Wars and many other blockbuster films as well as television programs and video games. The scream is often used when someone is either pierced with an arrow or falls to his death from a great height, or because of an explosion.
The Wilhelm scream has become a well-known cinematic sound cliché, and is claimed to have been used in over 216 films and even certain video games.
The sound is named for Private Wilhelm, a character in The Charge at Feather River, a 1953 western in which the character is shot with an arrow. This was believed to be the second movie to use the sound effect and its first use from the Warner Brothers stock sound library.