I was digging around and found some interesting things (I am finally going to get into radio, or at least to give it a shot).
Software Defined Radio (SDR) uses an RF front end then lets your computer do in software what used to be handled entirely in analog hardware. This does two things - makes radio cheaper (finally, with the RTL-SDR dongles), and gives it amazing flexibility, which translates into being able to monitor all sorts of traffic.
One thing that bugged me is finding something that works in Linux. There are some tedious solutions but I found a whole distro that supports it. Just throw this DVD in your DVD drawer and you have your software radio. I think Windows has better support for SDR but this looks promising for us Linux bugs:
http://dangerousprototypes.com/2013/12/16/ham-radio-linux-livedvd-ver-14-supports-rtl-sdr-hackrf-and-more/
This page locates all the cheaper hardware you need to get going. The Ham-it-up Upconverter lets you operate in the Shortwave frequencies:
http://www.rtl-sdr.com/buy-rtl-sdr-dvb-t-dongles/?PageSpeed=noscript
Look around that site, lots of good resources there.
I may still buy an analog set, maybe just a hand-held, but this SDR stuff really has a lot of potential and is developing rapidly now so a lot of good tools are coming soon.