While I've never heard it myself, stories of the high-pitched scream lobsters make when boiled have haunted me for years. But the 15th footnote in the David Foster Wallace essay "Consider the Lobster" does some debunking:
"There's a relevant populist myth about the high-pitched whistling sound that sometimes issues from a pot of boiling lobster. The sound is really vented steam from the layer of seawater between the lobster's flesh and its carapace (this is why shedders whistle more than hard-shells), but the pop version has it that the sound is the lobster's rabbitlike death scream. Lobsters communicate via pheromones in their urine and don't have anything close to the vocal equipment for screaming, but the myth's very persistent -- which might, once again, point to a low-level cultural unease about the boiling thing."
Still, not a pleasant sound. I can't find a link to the story online, but if you're looking for a collection of essays smarter than you, check out DFW's latest collection.