Sound effects are kind of weird in the copyright world. Some sound effects packages are copyrighted, some are not. I don't know the criteria for determining if a package or a specific sound effect is eligible for copyright. That would be a topic for a future blog post.
A really good source for sound effects is The Internet Archive. This site has actually has an amazing amount of content. The Sound Effects search, as of this post, has 18354 results. Many of those are Public Domain. Somewhere in there, you can find the Wilhelm Scream.
Whether you are creating a new song or a film, these sound effects are always very important and can be used in pretty interesting ways.