D.G.
I feel your pain, my middle son used to do the same thing, only it was worse in stores. What I would do is just walk away. Go to another room, walk around the corner, believe me, once he figured out that he no longer had an audiance, he would stop. I would tell him I wasn't going to talk to him until he stopped screaming and crying because he didn't get his way. It only lasted a couple of weeks, but it seemed like it was a year!!
On a sad note, he's now 13 and thinks he knows everything... Just another stage to look forward to. :O)