There's a lot of options, driven by your funds and potential antenna situation:
As others noted, you can get started right away by listening to online radios, mostly SDRs. There's dozens (hundreds) of these all around the world. You can listen without spending any money.
If you want to buy a radio, you have many choices. You can get a portable radio with a whip antenna. This is the cheapest option, and you don't need to put up an outside antenna. Unfortunately, you will be limited to hearing only a few of the pirates, most of which use relatively low power levels. Depending on your location, you might not even hear any. You can connect an outside antenna to many portable radios, but you'll possibly suffer from overloading and other problems.
Next up, you can get a tabletop receiver and put up an outside antenna. This is the "best" option in terms of performance. If you live in a rural area and have some land, you're all set. If you live in an apartment, this is likely not even an option. If you live on a small town/city lot, it might be tough to put up an antenna, and you may get a lot of interference from neighbors.
OK, reading down, I see you are in an apartment with "access to the roof". Since you're in an apartment, I suspect it is an urban area. RF noise pollution is likely to be high. You could take a portable up to the roof, but good luck hearing all but the strongest of pirates. If you're in Europe, you might have a fighting chance, as they tend to run much more power than US pirates.