It's been around since 1997 but I have to confess that I didn't know that...

From http://support.microsoft.com/kb/q261186 

SUMMARY

During normal operation or in Safe mode, your computer may play "Fur Elise" or "It's a Small, Small World" seemingly at random. This is an indication sent to the PC speaker from the computer's BIOS that the CPU fan is failing or has failed, or that the power supply voltages have drifted out of tolerance. This is a design feature of a detection circuit and system BIOSes developed by Award/Unicore from 1997 on.