I also get noise on any level. Your right nurium. In fact if you put the volume to 0 whilst music plays and go to settings you get other noises and it gets worse. I even updated the phone and the issue is still there.
I'm wondering if it's partly possibly caused by the FM radio built in. That perhaps it's not properly cutting off or interfering with the device causing the sound to come through. I think it's a Microsoft issue actually. I've read of people with a Samsung Focus having the exact same issue. I noticed in settings if you go to flight mode. It says it switches off the FM radio however it also says that you can switch the fm radio off separately in the FM radio settings but I can't find the switch to do so anywhere on my phone. I can only change the region.
The other reason I think it may be the fm radio in zune (music and video) is that the sound seems to disappear when I have the radio playing.