Like anything, it depends on how much you're willing to spend.
A good digital portable will get you a lot of signals and -- depending on the signal strengths in your area, or whether there are any high power AM stations real close -- you can usually add some wire to the external antenna jack, or clip to the radio's whip, and hear SW broadcasts and HF ham transmissions without too much effort.
I'm not into the brand (never used one), but the Tecsun brand of digital portables is popular right now, and some people swear by them. If you're just interested in listening to SW, AM-modulated broadcasts, Radio Shack's digital World Receiver does a good job for that, and goes for about $80.
If you have the money to spend, and really want to get seriously into SW and HF listening, there are SDR's and tabletop receivers, some which cost a bit -- but people swear by those, also.
A lot of the guys here use SDR's and different brands of tabletop receivers, and say they're the way to go. A more expensive, higher technology radio like one of those will probably bring in a lot more signals, but then you also need to consider an antenna. Even a fantastic radio won't bring in a lot if you don't have a decent antenna.
I use a Realistic (Radio Shack) digital portable from the 1990's and about 20 ft. of wire for an antenna. I hear a lot of stuff with just that. It may not be the preferable way to go for some, but it works for me.