It is an irritating, electronic noise, not unlike the sound of a truck horn played through a cheese grater. It is broadcast over a certain frequency, constantly, and has been since at least 1982. But the weird part isn't the tone, but what happens when it stops.
In its 20-something year run, the sound has been interrupted only three times, the earliest known time being Christmas Eve in 1997. Each time a voice comes on and lists several Russian names and numbers before returning to the foghorn. The most recent occurrence was 2006, a mere three years before the time of this writing. It is clearly becoming more active after remaining quiet during the Cold War.