That's actually an urban myth. Radio waves don't have the energy to do that.
rumborak
I did a little bit of "google research" and this is the general consensus I found. It was also ChaCha's answer.
"According to Robert Hunsucker, a professor emeritus at the Geophysical Institute with the University of Alaska Fairbanks: Such is the extremely rare case when a person's mouth acts as a receiver. The electrical conductivity of the human body can act as an antenna. A metallic filling in a tooth, reacting just so with saliva, can act as a semiconductor to detect the audio signal. The speaker in this case could be anything that vibrates within the mouth enough to produce noise, such as bridgework or maybe a loose filling."