Arduino Infinity Loop
You can use the toneAC library, which allows even better handling of piezo speakers then the standard "tone"-functions.


  Features: Nearly twice the volume (because it uses two out of phase pins in push/pull fashion)
      Higher quality (less clicking)
      Capability of producing higher frequencies (even if running at a lower clock speed)
      Nearly 1.5k smaller compiled code
      Bug fixes (standard tone library can generate some odd and unpredictable results)
      Can set not only the frequency but also the sound volume
      Less stress on the speaker so it will last longer and sound better 


With the library you can do something like:

int freq = 1000
int vol = 10
int length = 0
boolean background = true

toneAC(freq, vol, length, background);


The tone now will play forever in the background, until you stop it with:

toneAC(0);