Last week I got my newest toy in. It's a USB DVB RTL Receiver featuring the Realtek chipset beloved by radio enthusiasts. The chip functions by receiving radio signals and converting them to audio streams which the computer can decode/demodulate using software. The software tells the chip what frequency to tune to, and demodulates the signal. This concept is known as a Software Defined Radio or SDR for short.
The Realtek is cheap and agile enough to tune a wide range of frequencies (52 MHz-2200 MHz). Thanks to free (as in beer) software like SDRSharp, the "work" of setting up this complex sounding setup is almost trivial. (Especially if you use the install script in the downloads section of SDRSharp. Other websites can show you how to setup a trunking radio scanner for police/fire/EMS in your area. [So long as your local fire responders don't use a trunked P25 Phase II system])
If you're looking to get started, check out this USB DVB Dongle (any RTL2832U receiver should work). I would also recommend getting an antenna pigtail so you can use a bigger/better antenna for whatever frequencies you want to receive.