+1 on the antenna. There are a ton of radio hardware options ranging from under $100 to the sky is the limit, but none are very good without a good antenna (preferably external) of some sort. Do some research here and related sites to figure out what kind of antenna might work for you; even if you're in a high rise apartment there are options.
Once you figure out what kind of antenna will work, then start thinking about receivers. There's nothing worse than getting a new radio, turning it on, and getting squat

In the meantime, search around for receivers on the internet you can play around with. That'll give you a feeling for the kind of stuff you'll be hearing.