I agree with Thisyesterday -- my DD3, now age 12, was like this until she began talking. She screamed in the car, non-stop, even on the way home from the hospital as a newborn, screamed in the supermarket, screamed everywhere in fact, except when I was carrying her around.
She was very sensitive to sound and motion (car and trolley in the supermarket were therefore problems) and would wake at the drop of a pin, which was a pity as she was DC4 and there was always noise. When she awoke from her very brief and infrequent naps she would go from zero to 90 in under 60 seconds, sounding frantic -- none of my other babies were half as loud or insistent when they cried. People stared when we were out; she reduced large shops to utter silence.
She loved to be placed under the big tree in the garden in her little carseat, and she would lie back and look up at the leaves, listen to the birds, and make little baby sounds for hours -- life became easier when I discovered this. I also got a book by William and Martha Sears, "The High Needs Baby", which saved my sanity, and in the house, I carried her around for hours, in a back carrier when she could sit up.
She's grand now . She has a lovely singing voice, loves acting and performing, does well at school -- she can be intense, but she's fun to have around.