Yea it's electromagnetic interference from your phone, which, as nicely stated above, is because you're on AT&T. They use a different (better, imo) transmission technology, but it does come with a downside.
The only real solution is to move it away - any self-amplifying speakers (or headphones) are going to do this. It's not the cable, it's the amplification property of the speakers themselves. Getting a standalone amplifier might help, but you'd have to get speakers that didn't do it themselves (higher end).
EDIT: Found a link that you might like, courtesy the geeks at Slashdot:
http://ask.slashdot.org/article.pl?sid=06/04/07/2111217