Groups like the government use satellite's to tap in. When a phone call is made, the signal is sent out through satellite's, all the government has to do is have the sigal also "bounce" to them. This however is illegal, as the law is set up the at least one person using the phone (the caller or the one being called).
There are also "bugs" that can be added to a phone, these are harder to set up ,as you need to get ahold of the phone, place the bug, and leave it. These are also alittle easier to find.