If you're not on a call, and you hear a continuing rapid buzz-buzz-buzz in nearby speakers that lasts more than a few seconds and gets louder as you approach with your phone, well, the odds are that your phone is busily transmitting, and bugging is a definite possibility.
Note that this particular test is much less reliable with non-GSM phones that use CDMA (e.g. Sprint/Verizon phones), since CDMA's technology is less prone to producing easily audible local interference. This strongly suggests that CDMA phones may be preferred for such bugging operations.
A variant form of CDMA (called "WCDMA") is used for the high speed data channel (but not the voice channel) on new 3G GSM phones. Since voice could theoretically be encoded onto that channel as I mentioned above --which would be harder to detect than the main GSM voice channel --this is a technology that will bear watching.
Most of this applies to bugging in real time. If delayed bugging is acceptable, there is another approach available that would be more difficult to detect -- record ambient audio from the phone mic and store it in the phone's memory in compressed form, then upload it en masse later.
Modern phones have plenty of available memory, especially ones with cameras, mp3 capabilities, and the like. The processing requirements of a delayed bug would probably be beyond the capabilities of some low-end phones, but even most entry-level
phones are relatively powerful these days.
When the recorded audio was uploaded all of the transmission factors mentioned above would come into play, but since the transmission time would be shorter this would be harder to detect. Probably the biggest giveaway to this type of bugging would be battery drain, which would typically be quite considerable even in a voice-controlled recording (VOX) mode. So, my comments above about unusually poor battery performance would be especially applicable in this case.
The odds of most people being targeted for bugging are quite small.
But it's always better to know the technical realities. Don't be paranoid, but be careful.