Ravenhair is correct - I did some research on this when the question was raised a few months ago. Expert opinion varies from the cat vibrating its chest wall, to vibrating a large artery in its chest, but the truth is, no-one knows for sure. There is equal mystery attatched to the reasons why a cat purrs - they do it to express pleasure, as we all know, but they also do it during delivery of kittens, when in pain, and even when dying. If anyone dowes know the reason, i hope they will advise us here.