My 2 1/2 year old son does the exact same thing, to the point where I dread taking him anywhere. I also have a 15 month old son, so sometimes it's really important to leave at a specific time, for feedings, or such. I have also tried the bribing with cookies or whatever, and it generally works, but I don't like the fact that I have to bribe him. Someone on here suggested asking if he'd like to walk or be carried--this is what we have to do. We'll ask him if he wants to walk like a big boy, or be carried like his baby brother. I hate referring to him as a baby, because he's not and it makes him cry, but it generally works after a minute or two of screaming. I have the additional problem of not being able to pick him up easily--I have a lot of back problems, and it's extremely painful to carry him (which is a problem in itself). He knows this too, so he'll drag out his fit as long as possible because I will put off picking up a screaming and kicking toddler as long as possible, since it huts. But in answer to your question, the time warnings, and letting him choose to walk or be carried tends to work. I also take a watch or small clock, or something that'll beep loudly enough so he can hear it when his time's up, and that way he knows it's really time to go.
It is really hard though, and I know exactly what you're going through. If you figure out anything better, please let me know!