Probably just an choke. They vibrate if they aren't secured while under load. They are usually coated with a hardened resin or plastic to prevent this, but if it loosens up, it'll make a buzz/squealing noise when under load due to the magnetic properties of electrical current running through a coil.
Nothing to really worry about unless the noise bothers you.
Yes. @notaek, if you can find the culprit, and have a hot glue gun, sometimes you can fix the vibration with hotglue from a hotglue gun, to secure it again. So I've read.