I'm not an engineer type at all (I could short out the power to my television by boiling water in another room), so forgive my explanation...
I live in chicago, and I saw this on Friday night, at the Sheridan red line stop. It's a super crappy cameraphone picture, but what you're looking at is what are either magnets, or small metal rings, zip tied to the spokes. there's a hunk of soldered metal pointing at the rings, like a record needle (though I don't think it actually makes contact). From the soldered piece, there's wires leading up to a 9 volt battery, and from that, wires leading to the speaker (seen in the pic).
Essentially, it's a hacker-esque replacement for the old playing card in the spokes trick. Absolutely awesome.