yes mine does this. Bought my 2Ghz MacBook in white on Wednesday.
The high pitched whine/buzz is coming from the left hand side of the MacBook (it's not the fan or drive) - it is most noticeable when on AC power and the cpu is under load.
You can change the pitch/pattern of the whine by running something, even just moving the mouse pointer will do the trick.
The PSU seems to pick up this noise like a radio!
If you've got the AC power lead on the PSU then you can easily lift the PSU to your ear and hear it quite clearly. You can stand there DJ style with the PSU to your ear and your free hand moving the mouse pointer! lol
The noise is quite high pitched but I find it very audible and annoying, I guess it depends on how good your hearing is!
I took it into the Apple Store today for them to check out, they just said bring back the whole packaging and they'll treat it as DOA and swap the whole lot for a new one.
A colleague also bought one on the same day and while I can hear the whine from the MacBook (he can't), his PSU doesn't do the amplifier/radio thing.
Anyway, as a switcher, this hasn't been a great start to the Mac experience!