The cause of these noises is electromagnetic interference. Common phone radio frequencies can generate a signal in unshielded audio wiring through electromagnetic induction. This undesired signal is amplified by the speakers, producing an audible (and nasty!) noise.
Several years on, I no longer think ferrite chokes will do anything for the noise. The original answer is left below for posterity. A shielded cable may help, but most speakers won't support such a thing. Modern mobile phone technologies don't really cause these noises anymore.
An easy way to stop this noise is to use a ferrite choke on the wiring, to block higher frequencies.*
These should be placed close to the speaker for maximum effectiveness. There are two main types that are easy to apply:
These typically come in a plastic casing that splits in half, and can be snapped around your wiring. They are easy to apply.
These come in a toroidal ('doughnut') form. Just loop the wiring through a few times.
image
There is no set number of turns, just add more until the interference stops.
Ferrite chokes/beads/cores are easily and cheaply available from many sources. If you have an old USB cable or similar, there are often bulges near the ends. You can rip a ferrite bead off of that. PSUs and computer motherboards also often contain ferrite cores, which can again be ripped off for this purpose. Alternatively, many hobby/electronics/online stores carry them.
*As a side note, higher quality speakers will often include these filters. It's normally the cheaper speakers, especially those sold with/for desktop computers, that get effected.