Yeah, if it does massive buzzing, then I agree, it's probably a non-regulated, or poorly regulated wall wart unit. If the noise is a high pitched whining, that often comes from one of those "switched" power supplies.
The other thing to keep in mind is if the wall wart is designed to put out 500mA at a range between 1.5 and 12 volts, and you set it at 9V but your current needed is only 10mA, it will put out quite a bit higher voltage than 9V because it's not loaded. It wouldn't surprise me if it was putting out 16V or more with no load on it.