The old analog cell phones were trivial to monitor: just tune to the frequency and listen in on half the conversation. Handovers make it a little more difficult to track, though
GSM is more difficult; it is a time-division, multiple access (TDMA) system . You have to tune to the right frequency and pick off the correct timeslot. And if frequency hopping is in use, you have to be able to follow the phone as it jumps from one frequency to the next.
CDMA is also more difficult. It is based on spread spectrum, where the bits of the conversation are spread over the channel's spectrum at low power. You have to tune to the frequency and then pick the right code in order to tap into a cell phone's transmission.
And this all deals only with one side of the call (cell phone or base station). If you really want to tap into a cell phone call RF, you need a protocol analyzer that looks at both sides of the transmission and keeps tabs on which channel, frequency, time slot, et al, are being used at any given time. It's not impossible, but it does require more equipment than a simple radio tuner.
However, now that cell phones are really computers (my Samsung PDA phone has more computing power than a VAX-11 from 25 years ago), the 'game' has changed. While it's certainly possible to put spyware on a phone, I'm not quite sure how it can be completely hidden from the owner. If it makes a three-way call to the spy, that call should appear on the bill. If it mixes both side of the audio to a single stream and feeds that stream across the internet, that should appear on the bill as data used. If it feeds the audio out via bluetooth, that would be mostly hidden, but the spy would have to be nearby, and the battery would run down more often. And it's quite reasonable that the phone could be used for spying when its not in use, but again, voice or data connections it makes (if any) should be logged on the bill, and the battery just won't seem to have much stamina.
It just reinforces my belief that society has perverted the purpose of telephony from being a convenience for the owner/subscriber to being a convenience for everyone but the owner/subscriber.