I doubt they're actually hearing radio frequencies, more likely they're hearing a high-pitched electrical noise from one of the components and mistaking it for the electrical field. No component is ideal, and there is always some energy lost to an extra process (heat, noise, etc.). I've always been able to tell when a TV is on in the next room (even if its muted), be it CRT or LCD. All electrical appliances make some sort of high-pitched noise when they have power running through them. It's just a question of which component, what the frequency output is, and whether or not you've protected your ears well enough to still be able to hear them.
There's also the myth of people being able to pick up and hear actual radio broadcast through replacement teeth, caps and fillings. I don't remember what their results were, but Mythbusters tackled that one. :)
Addtional Info: A lot of people here are mentioning that they can hear electronics when they're plugged in, powered on, etc. I think it's important to note that this is pretty common for anyone who has protected their ears over the years (including myself), and those frequencies that you're hearing are not above 20k. Are there frequency components above there? Yes...but you're just hearing the fundamentals, just the harmonics. Keep in mind that no electrical process runs in an ideal state. Almost all electronics give off heat, meaning that the electrical current is causing friction within the conductor. Friction equals a form of vibration, equals sound production. I'm beyond skeptical of this idea. Afterall, there are some forms of tinnitus that are not tied to hearing loss (meaning without damage to the inner ear). The human brain is a funky thing that can malfunction just like any other electrical device. If it can cause tinnitus without trauma to the ear, isn't it safe to assume that it can cause you to perceive other high frequency sounds by itself?
...Something to think about.