What type of signal do heart rate monitors use to broadcast their
heart rate (data) to the watch?

What I am getting at, would be how would one intercept those signals
and read the data being broadcast? Is it a radio wave? If so what
frequency?

**If anyone has a heart rate monitor, look on the box and see if it
says anything about the signal it uses.

They don't seem to specify but here's one that uses FM:
http://www.scienceblog.com/store/10-3880591-B00020J1L2-Timex_Heart_Rate_Monitor_T5C351_Triathlon_Digital.html

My girlfriend just bought one, and I know she paid extra for the
higher-end model, in large part, because it has some way to prevent
interference or confusion from other monitors.  A friend of hers
confirmed that this is a problem at the gym, where people use the
monitors in close proximity.  Given that, I am sure they can be
intercepted, at least most of them.  Best guess is that it uses RF and
you could pick up the signal with any frequency scanner; just look for
a steady pulsing signal in the range of 50 to 200 beats per minute.