Sounded like it coincided with something inside the player. Don't think it was the hard drive, which was my first guess.

Seeing this comment got my attention... A while back I had noticed an odd noise occasionally when listening to one of my AM stations (610 kHz AM.) The thing is the noise only happened when I would hit the button which allows you to change to a specific frequency by typing in the numbers... You know, where the little Frequency dialog pops up. I think the Search button on the remote pops that up. Anyway, you guys sound like you're getting this kind of noise in other circumstances too, but since you said it sounds like something the player is doing, maybe you can try to use that button and see if it causes any noises.

In my car, as soon as I'd hit the search button, the really loud whiny noise would come on, and stop after about 20 seconds or so. Only on AM radio, and only on that one station. It's indeed strange behavior so I figured I'd mention it here.