Because of their wide range, large population and comfort in developed areas, red foxes are the most common animal described as making a sound like a woman screaming. Foxes, fishers, bobcats and cougars also make similar sounds.
Although it is not a normal vocalization for them, terrified or injured rabbits also sometimes give a high-pitched scream. Even fighting raccoons can produce a sound similar to a scream.
Bobcats also have a wide range and are fairly vocal during mating season. Cougars tend to prefer remote areas and tend to be fairly quiet. Fishers are capable of screaming as well, but many of the screams attributed to them are actually from foxes.