What the hell is my phone transmitting when i'm not receiving a call?
It's periodically sending your GPS location to the government who's building a huge database of people's movements, to correlate against all sorts of crimes ranging from terrorist attacks and murders to petty theft and jaywalking.
The RIAA has shown interest in this as well. They want access to the data so they can draw up a list of people who walked by a record store without stepping inside and buying a CD. They claim it's not only in their own interest, but for national security as well, since anyone found guilty of such a crime is a threat to the national economy, and therefore a terrorist. But don't worry, the government is protecting you and is fiercely negotiating with the RIAA on your behalf. They finally realised what a bunch of nutcases these RIAA folk really are, they're sick of being pushed around by some corporate lobbyists, and are now actively pushing for a rewrite of that RIAA bill that would change the wording from "terrorism" to a mere "theft". And it looks like they might even have a chance of winning this one...
OK, and now for the serious answer: a cellphone tower can only support a limited number of simultaneously connected cellphones. It therefore needs to know exactly when a cellphone leaves its range, or disconnects from the network altogether, so it can free up its connection slot for use by another cellphone. Normally a phone communicates a disconnect to the tower whenever possible (for example if it's getting out of reach and connects to another tower, it then disconnects from the first and the connection gets transferred gracefully from the old tower to the new one, even in the middle of a conversation). However, if you just yank out the batteries, the phone gets utterly destroyed, you suddenly enter a cage of faraday or even an underground tunnel, ... the phone will have no time to notify the tower, so the tower needs to check up on supposedly connected phones from time to time to check that none of them are MIA. It's basically similar to an ICMP ping on the Internet. And that's what you hear over your speakers. Similar thing happens right before a call or SMS comes in, or when you dial out: there's two-way communication, and the RF interference the cellphone puts out is picked up by your audio equipment.