The theremin (pretty much my favorite instrument ever that I can't play AT ALL) was invented by Russian scientist and cellist Leon Theremin (or Лев Сергеевич Термен) in 1919. It was the product of Russian government-sponsored research into proximity sensors. Because of his invention, Theremin is considered by many to be the father of electronic music.
Apparently Vladimir Lenin had a fascination with the instrument, and after a demonstration by Theremin himself decided not only to take lessons, but to distribute the instruments throughout the Soviet Union and send Theremin on a world tour showcasing the latest in Soviet technology.
In the early 20's Theremin ended up in the United States to promote his invention and after spending several years in the states training musicians and spying for the Soviets, he vanished. It's reported that he was forcibly taken back to the Soviet Union to work for the KGB on secret government operations in a шарашка, a Soviet labor camp for research and development. He wasn't seen for about 50 years and was considered to be dead by everyone back in the US. During this time he invented the first covert listening device, or "bug" as we know it. His device was put into a wooden plaque of the Great Seal of the United States and given as a "gesture of friendship" to the US ambassador in 1945. It hung in his office until 1952 when a British radio operator finally stumbled upon its frequency.
Somewhere along the line (before he got kidnapped) Leon Theremin met Clara Rockmore (or Clara Reisenberg). Rockmore was born in Lithuania, but studied violin at age 5 at the Imperal conservatory of Saint Petersburg. She's arguably considered the greatest ever virtuosa of the theremin.
Some time after Theremin was kidnapped, Rockmore actually went back home with her husband, who wanted to see where she grew up. When they got off of the train, her husband met a scientist and asked him if he knew Theremin. Surprisingly enough, he ate lunch with Theremin earlier that day (which would have been a real shock to someone who thought he was dead) and took Rockmore to meet with him. They met up in a subway station so no one could really listen in on their conversation.
Now, if you know anything about playing this instrument, you know that making it sound like music, or really anything but an alien sneezing, is ridiculously difficult. What's funny is that the instrument was originally marketed by RCA as easy to play. Liars.... I mean really. You'd have to be locked inside a room for months (possibly because it's freezing cold outside and you have nothing else to do?) practicing this thing to work up to Clara Rockmore status. That's my theory. =)
Here's a picture Theremin playing his instrument:
The vertical stick controls pitch. The closer you get to it, the higher the pitch. The loop on the side controls volume. The closer you get to it, the softer it becomes. You don't actually touch the instrument, but rather play the magnetic fields around it. It's a pretty cool concept. Leon Theremin heard this sound come out of a radio one day, decided to figure out what made it, and ended up building an instrument. He uses a process called heterodyning to get the sound. There are two coils inside that create magnetic fields. The difference between the two algorithms is the pitch you hear. The inside of Theremin's first instruments is artfully simple which is something you don't really see anymore in modern technology.
Now, I'll save your ears from hating you by NOT posting an audio clip of my wonderful theremin playing (you and any dog within earshot would run for cover, which is why no such clip exists). BUT! Here's a bit of Clara playing a piece by Rachmaninoff.
If you search for "theremin" on YouTube there are plenty of clips of great (and not so great) theremin playing, but if you really want to learn more about the instrument and its inventor, there's a DVD in the library (which I'm holding hostage at the moment) called Theremin - An Electronic Odyssey. You should definitely check it out!