I didn’t think they were using any stock sound effects in LotR, but I could be wrong. Anders writes: I noticed that the famous movie scream “the wilhelm” was used in Two Towers, when an elf is shot and falls down to the orcs in the battle of helm’s deep. The wilhelm is used in several big movies, most of them in Star Wars and the Indy films.
Update: TheForce.net has an extensive article on the history of this film phenomeon, plus a compilation of Wilhem screams (in Quicktime) from films down the years. [More]