I just upgraded from a 1st gen to the 3GS. I've also noticed the high pitched sound!!
It happens after I press the standby button on top of the phone.
Also, when I use one of the apps (tap tap 2). The app has sound effects after each screen you go through. Once that sound effect sound stops, the high pitched sound comes on for a few seconds. It's really annoying!!!
I am going to apple tomorrow to see why.
I've heard that the white ones-which is what I have-might get recalled for overheating? I guess it turns the back of the phone brown 🙁