Below are links to various sites concerning natural radio, that is, ELF and VLF frequencies. In this range, earth's magnetosphere can be tuned into. Auroras can cause all interesting manner of disturbances that send ripples through the magnetosphere that we can listen in on as radio signals. But we are mainly dealing with "sferics" when we use natural radio. Sferics describes the process of lightning strikes happening all over the earth which makes a constant background noise while listening to natural radio. You can verify this yourself by tuning your AM band to some blank part of the dial. The crackles you hear are lightning strikes, some of them from halfway around the earth. When these strikes disturb the plasma flux of the magnetosphere—earth's magnetic field—the separate flux bands carry separate frequencies of the lightning strike and they race around the earth in seconds and rebound. The high frequencies arrive first and then progressively lower frequencies. The radio signal sounds like a descending whistling tone and called a "whistler."
There are all kinds of sferics besides whistlers—auroral chorus, dawn chorus, tweeks, solar flares, hiss, saucer, AKR etc. In fact, whistlers are comparatively rare and some believe that they are only caused by upward-moving lightning, according to one source. I took that to mean a sprite so I included a wonderful site about sprites. It's interesting to look at photos of sprites and listen to the sound of a whistler at the same time. It's almost like a living creature with its own amazing cry. Eerie really.
Other planets, distant stars and galaxies make different sounds. In fact, radio is an excellent tool by which to map the universe and the first people to do it were radio engineers and enthusiasts rather than astronomers. You'll read about them in the links below. We've even tuned in on the Big Bang by picking up its primordial reverberations via radio.