Headphones are playing a local radio station
OK, I'm an amateur RF engineer, so I know roughly what's happening.
Either your sound card or the headphones themselves are picking up the RF energy from a local AM or shortwave radio station. The wave is being rectified in the headphones and the audio is reproduced.
This can be solved by using shielded cables, and by buying RFI eliminating snap on chokes from your local RadioShack or other hobby electronics stores. Amazon also has RFI chokes available.