This is going to be long and drawn out but is totally necessary to understand why this happens.
Essentially any piece of conductor can act as an antenna. Even if it isn't hooked up to anything. The stray radio waves in the air at all frequencies induce the tiniest voltages in the conductor. To help understand this, you need to learn the theory behind electromagnetism. As a conductor is passed through a magnetic field, (or vice versa if a magnetic field is passed through a conductor), the magnetic field moves free electrons in the conductor in a certain direction. If you move the magnetic field in the opposite direction, the electrons are compelled to move in the opposite direction. If there is no complete circuit, the electrons still move, they just move back to their original position when the magnetic field is removed.
Now reciprocate the magnetic field many times per second, and the electrons move back and forth in an oscillating manner. Now take an electric current and pass it through the same conductor, as the electrons move through the conductor they generate a weak electromagnetic field, just the opposite of the prior experiment.
So move a magnetic field through a conductor to create electron flow. Move electrons through a conductor to create a magnetic field.
Radio is based on this principle. In all alternating current applications, you generate a changing magnetic field, since the amplitude (Volts/current) of the signal (a sine wave) is always changing. You don't see this in Direct current apps, because typically the amplitude is never changing, at least not very fast. You get a constant magnetic field when you push DC through a conductor.
The measurement Hz, (as in Megahertz, MHz and Gigahertz, GHz) is simply a measure of how many "cycles" per second are induced in a conductor, typically by an oscillator. The mains power coming out of our sockets in our homes here in the USA is a 60Hz signal. Oscillators are combinations of capacitors, inductors, and transistors, arranged in such a way that a steady-state alternating current is created.
Interesting things happen the higher in frequency we go. If you induce a radio frequency (typically a frequency above 20khz) in an antenna, electrons pile up at certain points on the antenna, and leave voids at certain points on an antenna. All an antenna typically does is provide the correct length of conductor so that there is not an imbalance. (Such imbalances create standing waves, and inefficient operation). As the amplitude of the sine wave in the RF changes during a single cycle (starting at 0, climbing to peak, going back down to 0, reversing direction, going up (relatively speaking)to negative peak, reversing direction, going back down (relatively) to 0), Electrons generate the magnetic field and "build up" at certain points, then stop. As they reverse direction, the magnetic field attempts to collapse, however now there is a negative current flow and reverse polarity, and it cannot collapse onto the conductor. Think what happens when you put 2 North Poles of magnets together. This "Field" has nowhere to go but out in a donut shape from the conductor. Thats the basis of radio.
In order to create an AM signal, you vary the peak voltage of the much higher than audio freq RF signal, with an audio signal. So that your RF peak voltage at say 27 MHz (CB's) goes from say 8 V peak to 10 volts peak, exactly following the 20hz-20khz of normal audio. Say you were transmitting a 1khz tone (medium pitched whine), The 27MHz signal would vary between 8V and 10V 1000 times per second, smoothly going up and down. If you watched the actual RF sinewaves on a scope you would be able to follow along the peaks as they went up and down, and be able to trace out a wider sine wave, contained within the much narrower sine wave. Your voice, or music or whatever sort of "rides" on the RF peak. This is the basis of AM or Amplitude Modulation.
In order to create an FM signal, you vary the frequency of the RF signal around a "center frequency". Lets take 93.100MHz (93 Rock here in Miami). Your radio signal is a constant amplitude at ~93.100MHZ. If we transmit a constant 1khz tone here, You would see the sinewave get narrower and wider 1,000 times per second. In essence we vary the frequency 1000 Hz around 93.100MHz, so that it goes smoothly between 93.099Mhz and 93.101Mhz. It actually steps between the two frequencies as smoothly as a sine wave, so 1 microsecond it is actually 93,099,000 Hz, the next it might be 93,099,050Hz, the next 93,099,100 Hz, and so on. This is the basis of FM or Frequency Modulation.
A transistor is three bits of "semiconductor" placed together, one P type, one N type and another P type, or vice versa, PNP, and NPN transistors both do the same thing. A diode is one P type, and one N type fused together. Common Diodes restrict current flow in one direction, and allow current flow in another direction. Common Transistors amplify by means of linear operation. Transistor junctions are called "Emitter", "Base" and "Collector" We could spend a whole textbook on how this works, but here is the jist of it.
A transistor takes an input voltage at its base (greater than ~0.6V), When that "turn-on" voltage of ~0.6V is achieved, it suddenly has much less resistance between its Collector and Emitter. Different Transistors have different characteristics, but when a transistor is ALL the way on, it is called Saturated. It cannot conduct any more. When the base turn-on voltage gets below ~0.6V it is in the OFF state. It has Maximum Resistance.
When it is between saturation and off, it acts as a variable resistor. Diodes also have a similar turn-on voltage.
Apply a "bias" voltage of about 0.6V DC to the base, and 12 V to one side of a 1kohm resistor. Connect the other side of the resistor to the collector (this is only to limit current to a value the transistor can handle). Ground the Emitter
Connect a speaker to ground (the same ground your negative side of the 0.6V DC is connected to, as well as the negative side of the 12V DC applied to the collector), and the other speaker terminal to the collector (with a "decoupling" capacitor in-line, to stop the 12VDC from going through your speaker.) Apply an audio signal "on-top" of the base voltage, and you have yourself an amplifier. As the audio signals sine wave increases from 0 to its peak, so does the bias voltage on the transistor. The transistors collector-emitter junction is said to "conduct" more, or have less resistance. As it decreases to 0 it conducts less. As the audio signal goes past 0 to negative, the bias voltage decreases to slightly below ~0.6V. It is said to conduct even less, or have higher resistance. As it comes back to the 0 value it starts to conduct more, or have lower resistance.
As we know from ohms law, less current flows through higher resistance, and more current flows through lower resistance. As such we develop a higher or lower voltage across the speaker, exactly opposite in phase to the applied sine wave. Why is that? as the base voltage increases, the collector-emitter resistance DECREASES, allowing more current. Since the resistance decreases, the voltage DROP across the speaker terminals decreases. So a more higher input value actually produces less of a value at the speaker than a lower input value. This is all relative, and the only real effect is that the speaker is out of phase. This is usually why 2 transistors, a driver (or buffer) and a Power Amplifier are used one after another in your typical simple amplifier.
OK now that the theory is down, heres why you get the RF signal in your amps. In your typical instrument amp, or computer speaker amp, or really any kind of amplifier, you have any number of diodes and transistors. They are notorious for being cheap in construction, ESPECIALLY computer speakers. So as a strong radio wave comes in, say from a CB, it induces a voltage somewhere in the circuit. It could be in the input wires, the output wires,the power circuit, ground cable, chassis, even on the amp board itself. Remember that any time a radio wave (or electromagnetic field) hits a conductor and is changing in amplitude, as a radio wave would be (many times per second), it induces a voltage and current in that conductor. That current goes somewhere, typically into the input of the amplifier.
Those electrons which are now moving back and forth quickly hit a diode, or a transistor, really any PN junction, and suddenly can only go in one direction. This essentially cuts off the bottom or top half of the RF signal. This "rectified" signal is no longer RF. Remember that an AM signal is an RF signal increasing or decreasing in amplitude, exactly following the signal of the contained audio. Now we have electrons increasing and decreasing in amplitude in the conductor beyond the diode. They are only going in one direction, but increasing and decreasing in electron flow, or current (and essentially voltage). They hit the power amplifier stage of your amp, and the amp only sees the current increasing and decreasing at the base emitter junction. So it amplifies it. Your speaker sees the voltage and current amplified, and blares out a "10-4 good buddy!"
AM is almost always what you hear in an amp or cpu speakers. Much less common is SSB which is "carrier-free" AM, used almost exclusively by ham radio operators, and less commonly by the military.
FM is heard in speakers VERY rarely and is not intelligible. You wouldn't recognize it as a voice or audio. Typically its a low frequency hum or a whistle, and only due to the changing "reception" of that signal.
Nextels work on Phase Modulation, and the voice is sent as data, a totally different concept, but essentially you hear popping and clicking as the transmitter sends the data of your voice in chunks.
Hope that helped.