Cry - tears are coming out of your eyes
Shout, scream and yell are pretty similar, though they can might have different emotions behind them.
Scream can be thought of as more fearful/aggressive. Shout and yell could be aggressive as well, or they could just be done when trying to get someone's attention. But it depends on the context.
Also, you can use cry and shout/scream/yell together.