In the sense of 'shout' - 'cry' is a little old-fashioned here, and would be unusual to use. It usually means to cry (as in sob, with tears). Yell is very similar to shout. Scream is a high-pitched shout, perhap with no words. Shriek is even higher pitched. It would probably insulting to say that a man 'shrieked'. Bawl is also usually used to refer to more of a cry.