Your daughter is learning that she can control parts of her environment. It is a very powerful feeling and kids really get a kick out of how they can cause us to react.
The key here is to let her know that she has control over certain things in her environment, and that for other things you will be making the decisions. DO NOT give into her when she starts to scream. Don't grab her and rush out of stores or hand her toy back, etc. TRY to stay calm and tell her what is going to happen. Don't argue or "reason" with her, as that puts her in control still.
For example: "You have to put your toy down because it is time to eat." If she starts screaming because she doesn't want to put down the toy and you give into her screaming, you are actually encouraging the behavior. You are telling her that if she screams she can get her way.
What you need to do is to let her know that you are in charge. She is trying to get your attention and get her way. If she starts to scream tell her that you will pay attention to her when she stops screaming, then turn your back to her. It can be a VERY difficult thing to do, but it should work fairly quickly. This will let her know that she can't get her way OR get your attention by screaming. Trust me, there isn't a parent out there who wouldn't understand if they heard her and saw you doing that.
Kids develop a sense of security and trust when they know what the rules are and that they are followed on a consistant basis.
Good Luck,
K.