I was browsing the USGA site rules page and came across this and it made me laugh... apparently this happens enough that it warrants a FAQ entry:
Club Broken After Slammed in Anger
Q. A player breaks the head off his club as a result of slamming it on the ground in anger, throwing it, or intentionally striking something (e.g. a tree) other than during a stroke, practice stroke, or practice swing.
May the player replace the damaged club before the completion of the stipulated round?
A. No. As the club was damaged other than in the normal course of play, it may not be replaced during the round. See also Decision 4-3/1, Decision 4-3/7 and Decision 4-3/9.