Why do the bulbs buzz when dimmed?
When you pass AC current through the filament of an incandescent bulb, it produces a magnetic field. This magnetic field tends to push against itself, so there's some mechanical force acting on the filament itself which causes it to vibrate slightly. When running at full power, the AC is fairly close to a sine wave (either 50Hz or 60Hz, depending on where you are) so this vibration is pretty much constant and generally barely noticeable.
A dimmer will truncate and clip part of that sine wave; this introduces a lot of higher-order harmonics, which in turn changes the characteristics of the magnetic field, changing the way the filament vibrates. Depending on how the filament is supported, this may cause resonance at certain dimmer settings, leading to the vibration becoming noticeable.
See this article for some more background information on how dimmers work, including a mention of this phenomenon.
Are there other bulbs that don't buzz when they're dimmed?
If you prefer incandescent lights, look for rough service bulbs; the filament and its supports are designed to withstand more vibration than normal bulbs. You could also try halogen bulbs or even dimmable CFLs.