Mostly, they come from a novel musical instrument called a waterphone
A lot of good work has been done around the internet to debunk the reports of mysterious, seemingly sourceless sounds from the sky.
Most people have noted that the biggest red flag is that these reports consist almost entirely of YouTube videos, which are trivially simple to fake. There is little in the way of written eyewitness reports, or of multiple reports of the same incident. I mean, if a huge metallic grinding noise filled the sky, wouldn't you expect other people to hear it, too?
If you listen very carefully to several of the videos, it becomes apparent that the sky sounds were added to the videos in post-production. This is simple to do in any video editing software, like iMovie (a standard program which comes free with every Apple computer). It is the moving pictures equivalent of Photoshopping.
To compound the fakery, several of the videos apparently have the same bird sounds audible at the same time stamps. For locations flung far across the globe. Which is proof enough that these videos are fake.
And now comes word that the true source of several of the sounds has been found: a novel instrument called a "waterphone." It's like a disc with pipes sticking out, which you play with a violin bow. Sounds unlikely, but if you watch this video of the waterphone in action, many of the noises it makes are recognizably those which purportedly were coming from the sky.
It's remotely conceivable that some of these videos are inadvertently documenting some random person nearby who happens to be playing a waterphone. But it seems more likely that someone - or a collection of someones, either organized or not - are simply dubbing waterphone noises over normal street scenes to make them seem scary.
If you step back and look at this objectively, it could basically be described as "the crop circles of the new millennium." Patently fake, carried out by multiple people worldwide with only the most tenuous connection, and bizarre enough that some people are going to believe it no matter what.
Speaking of which, Sharon Hill of the Who Forted? Blog has the best take on this whole thing: this is 2012, so buckle up and put on your skeptic hat, because this entire year is going to be chock full of stuff like this. Your hoax radar is going to need to be very finely tuned in order to make it through to 2013 intact!