Why do our cars make that first gear whine?

Honestly, I love that sound. It's soothing to hear while cruising.

I've owned 2 P71's and one Grand Marquis and all three have that same prominent whine in first and a bit in second. My previous two jobs involved me driving a lot of Fords and I've noticed that the F-Series and the E-Series van have that same whine.

What exactly is making that sound? The gears itself or the torque converter? Thanks.