You hear a mixture of "noise" generated by the radio itself, as irseg states but also some Cosmic Backround Radiation (depending upon the sensitivity of the radio). This is, of course, not discernable to the normal ear as it it totally swamped by the "white noise"; only with very sensitive detectors and complex filters could you really hear the CBR. Check out
http://csep10.phys.utk.edu/astr162/l...ology/cbr.html
As an aside, you also quite often can hear repetitive blips, squeeks and yawks. Not so common any more, but still easy enough to find. These are mostly a holdover from the Cold War when both NATO and the Warsaw Block used coded rapid radio signals to communicate with their agents, vessels and subs around the world. There's also a lot of standard low-level military and civilian traffic out there that sounds like noise.
All quite interesting in a geeky kind of way.
Mr Mephisto