I’m guessing it’s from some cheesy 50’s movie…but it’s quite common even to this day. The best way I can type it out the sound is “weeeee weee weeeee…”
It was featured quite a lot in Penn and Teller’s BS on UFO abductions and the like.
That would be a Theremin.
Wiki lists the Beach Boys “Good Vibrations”, but missed the Star Trek TOS theme.
Maybe someone should correct Wikipedia and a LOT of other web pages, books, etc that say that the Beach Boys used a theremin for “Good Vibrations”.
It was not a theremin.
Here’s a good link to what is known as the Tannerin:
http://www.tompolk.com/Tannerin/Tannerin.html
A theremin is difficult for playing precise notes. (You have to know what part of the air space produces a C# and so on).
The Tannerin, by comparison, allows precise note-playing, portamento sweeps, staccato sounds, etc.
There’s nothing stopping you 
(Although http://en.wikipedia.org/wiki/Tannerin has beaten you to it 
)
Actually, both Wikipedia entries are correct:
(From the Theremin article)