The disembodied voice that only one person can hear is a classic trope in fiction. It can represent a person's own conscience, a guiding spirit, or the voice of madness. But in any form it's a great way for the GM (or another character) to slip information to someone.
Try the "voice of madness" route some time. Pass notes to one of the players telling them they can hear a voice telling them things. If they mention it to the other players, tell them that nobody hears anything. Pass the player actual useful information this way. Information that they couldn't possibly have known by themselves.
And wait to see how long until the rest of the party start getting suspicious of them...
Yoda's voice: Young fieldhopper...
Yoda's voice: Good, good. Your tolerance of Wedge the next step on the Path is.
Luke: Sweet! So I was right, the next step was trust!
Yoda's voice: Er, no, tolerance, it was. But close enough.
Luke: Hmm. Okay.
C-3PO: Luke, who are you talking to?
Luke: Huh? You can't...? Oh... just... my invisible friend.
Han: I used to have one of those!
Han: But then he vanished.