Radio interference

The noise is generated by the commutator in the blower motor in the furnace.

Ferrite beads around the wires and by-pass capacitors installed directly at the motor might cure it.

Amazon sells the ferrite cores that open and close around wires.

Try finding 12volts else where and see if that helps as a test.

I've had good luck in the past with a filter on the power line. A couple of examples are here http://www.crutchfield.com/shopsearch/noise_filter.html . The one I have looks like the S-25A but mine is so old that I don't know if it's the same one or not. This works if the noise is coming in via the power line. If it's RFI the filter won't do a thing. You might also see an improvement moving the ground wire to a better location and/or making sure the power and ground wires to the CD player don't run next to other power wires, especially the furnace. The closer to the battery you can pick off the power, the better, and the closer to the battery or frame for the ground, the better.

edit: Here are some that cost less http://www.parts-express.com/cat/noise-filters/429. Ignore the ground loop isolators, that's not what you're after.