Thank you all for your responses.
I am reading the book Tears and tantrums by Aletha Solter, and she says that we shouldn't try to stop a child from crying, because he is expressing his feelings of anger, frustrations, sadness, physical or emotional pain etc. and crying is beneficial, just like laughter is; she means the crying that is not related to hunger, thirst, necessity of changing the diaper etc.
On tantrums, she said that we should accept them (which is not the equivalent of giving in) and hold them in our arms (for the same reasons mentioned by Fenner and shrimp - to protect them from harming themselves, us or those around) and let them yell out their frustration and anger.
My girl is only 7 months and a half, so, I can't quite say that I am dealing with tantrums, but her pediatrician said she was a bit hysterical (because she cries and yells when somebody, other than me, holds her), so I got worried and it made me want to get prepared for what is to come.