Oh yes, I scream at my games all the time.
Annoying wild pokemon, legendaries that REFUSE to be caught, important battles, gym matches, champion battles, pokemon that keep using Protect and wasting my time, double-teamers...I've screamed at just about everything that can happen in pokemon.
But, the one that that REALLY made me scream was that one time when I was playing my Sapphire version and I tried to load my save file and it said that my data was corrupted. I have like, 950-something hours on that game!! I didn't want to lose that save file! But it did let me reload my save file, and I was relieved after that...I was about to seriously come unglued.