If mobile phones have to go through such extensive FCC/CE/EMI testing, why do they interfere with my radio?
The interference caused by GSM phones is an intentional radiator that is within the required limits of regulations.

I tend to blame the other devices for not shielding well enough. Any wireless device is going to have harmonics, its just a way of life and it just so happens that one of the harmonics with many GSM devices is in an audible range.