How come in anime they always scream out the name of the attack they're using

being serious here, i believe there are certain martial arts where they FORCE you to scream with each attack.

Well, no. You don't yell out your attacks, that would be quite stupid.

Martial Artists, when they attack, they scream/yell like "AYAH!" or "AH!" or something stupid to where they can not only breath fully out, but it gives them an extra burst of adrinaline to boost their attack and it intimidates their opponent.