Twisted pair
Eric's sites were pretty good (especially the second one) but they didn't address twisted pair. You can obviously run the 4-20 mA loop (it is not generally referred to as just 20 mA) through any conductor. In order to minimize the effect of EMI/RFI (ElectroMagnetic Interference/Radio Frequency Interference) induced voltage the wires are twisted. This exposes both wires to the same amount of EMI/RFI, whereas parallel wires might have one with more exposure than the other.
In addition to using twisted pairs, analog signal wires are usually shielded as well. A metal foil is wrapped around the twisted pair. The metal foil intercepts the EMI/RFI before it can reach the twisted pair. The shield is connected at ONE end to ground, which then drains the EMI/RFI induced voltage and protects the signal from noise.