Haha. That happens with any cell phone, not just a BB. Works for email, SMS, voice/data, etc. Has something to do with the signals the device receives being amplified by the speaker.
BTW, you can also learn about an incoming call before the phone actually rings. If the phone is in standby or the screen is off, the screen will light up, the data arrows will flash, and there's usually a slight delay before the ringtone kicks in.