The answer is – theremin. Invented by Russian Léon Theremin in 1919, it consists of two radio frequency oscillators and two metal loop antennas. The electric signals from the theremin are amplified and sent to a loudspeaker.
The theremin is widely associated with "alien" or surreal sounds, and has been used in films like Spellbound, The Lost Weekend, and The Day the Earth Stood Still, to name a few.
The following 2 minute recording from a radio interview by Robert Moog, describes how theremin works: http://www.theremin.info/download-file-37.html.
Also, check out the following images of musicians playing a theremin (a.k.a. theremin pilots):
Finally, listen to a few short samples of music played on a theremin:
For more information on this fascinating instrument, check out the following sites: