In modern music, electricity is often used to send sound over long distances or to make it louder.  The simplest way of converting sound to electricity is to use a microphone.  This is simply a diaphragm connected to a variable resistor which changes the shape of the electrical wave to match that of the sound wave.  The electrical wave can now travel down a length of wire at nearly the speed of light - much faster than sound travels - and be output at the other end by a speaker.  A speaker is simply the opposite of a microphone.  The varying voltage of the electricity causes magnets in the speaker to move and these in turn move a paper cone making air particles vibrate.

Mains electricity can be considered a wave.  As such, it can always be made to produce a sound.  The electricity that is supplied to your house is at a frequency of 50Hz.  This makes a very low pitch sound.  It also means that your lights are varying at this frequency, so they are effectively flashing on and off very fast so your eye cannot see it.