This is a light or beeping sound that lets you know that you've reached the monitor's range limit. If you have a model without this feature, static might be the only indication that you're out of range. (A monitor's range can vary due to your home's size, its construction materials, and other factors.) The greater the range, the better--especially if you plan to take your monitor outside.
It really depends on what you feel most comfortable with. There are audio monitors that allow you to listen to any noise coming from the nursery, vital monitors that track sleep and breathing and video monitors that add sight to sound. Babylist parents overwhelmingly choose video monitors. The security of seeing what your child is up to—like if they’ve gotten tangled in their swaddle, pulled their diaper off or climbed out of the crib—can be worth the extra cost of a video monitor.