A news story in Nature explains why cell phone conversations on the subway (or wherever) are so annoying.

Apparently we have a harder time ignoring someone talking when we only hear one person's side of the conversation. A group of British psychologists tested the idea on the train with both cell phone conversations and face-to-face conversations in which only one side of the conversation was audible. Then they quizzed other passengers about how annoying it had been. The result - it's more annoying when you can only hear one side of the conversation.