I agree with you on that! Hearing them outside in their natural surroundings is a pleasure but inside of your home they can make your life miserable and I'm telling you from experience. It happened once to me and I'm never going to forget it.
I don't know how it happened because I live in an apartment building in the city, on the fifth floor. I was sleeping with the windows cracked and one late night I woke up to this specific sound. I know what it was, but not where it came from. Got up, went looking for the responsible but could not find it anywhere. Went back to sleep and woke up again to that terrible sound. I had to go sleep in another room, thank God I have a spare room.
I was able to find it the next day on the curtain :)

It's a great macro by the way