Telephone calls that you make using a land line (old style telephone plugged into the wall) are subject to recording and surveillance by the telephone company, and anyone who physically situates between you and your conversation partner with the right tools. There are hardware devices that can be plugged into your telephone line between your actual phone and the wall on each side to add encryption to the line, though both parties in the conversation have to have the same type of device and coordinate their conversations. The cost for these devices is prohibitive, and with land lines becoming less used (in favour of cellular phones), it’s unlikely that there will be any significant developments in that technology going forward.
Cellular phone conversations typically operate using GSM technologies. The encryption that is typically used is relatively simple to break/crack with the right tools, and it is commonly accepted that anything you say over a cellular phone can be easily intercepted by an interested party with said tools. Your cellular service provider has it even easier, as everything going through their networks can be recorded and stored for analysis (speech to text tools identify key words, and flag conversations for review by a real person). Encrypted cellular phones do exist, though not in any of the most common smart phones, and like their land line cousins are expensive devices that both parties have to have. In general, it is safe to believe that anything you say over a cellular phone can be listened to by someone other than the person you’re speaking with.
Voice over IP (internet phone) is where things get interesting from the privacy perspective. In principle, VoIP is the term used to describe what is happening (using the internet for voice communications), and the actual protocol used to transport the voice is most often SIP. There are a few different protocols that can be used, and for the most part they can be divided into two categories: encrypted and unencrypted. The grand majority of VoIP communications are unencrypted, and subject to surveillance (listening in and recording) by any interested party between both parties of the conversation. As of the time of this writing, using SSL to encrypt voice over IP communications tends to take more processing power, and not all devices are created equal, so most providers have chosen not to encrypt their services in order to reduce the performance hit (less lag or delay in conversation). If you’re going to sign up for a voice over IP service, ask the service provider if they support encryption and on what devices. I personally use a few of these services, and have been relatively pleased with performance on both an iPhone 4S and a Google Nexus 4 (with the appropriate apps). It is important to note that if you’re going to use such a service over cellular data, you will almost certainly want to assure that you have a high speed service (LTE). Using a 3G or even HSPA+ (the last generation of technology) connection, you may find conversations lagging by one to two seconds on each side.
In summary, unless you’re using an encrypted voice over IP service on both ends of the conversation, it is reasonable to believe that someone is listening in on your conversation and/or recording it for later analysis.