Yes, diodes. Usually ones that are part of another structu the
base-emitter junction of a common transistor will act like a diode.
There are other nonlinearities inside pretty much any electronics that
will detect AM signals, and if the signals are large enough, the result
will be audible on connected speakers, etc. The trick is to keep the
RF (radio) signals small enough inside the circuits so that it's not a
problem. As you noted when you played with your crude detector, lots
of things you might not expect can be nonlinear enough to detect AM
stations and provide some audio output.

Cheers,
Tom