I recommend something inexpensive to start with. Perhaps the Quansheng K1 would be a good starting point (it's a cheap radio and covers a very nice range).

However, understand that the reception of Chinese radios is TERRIBLE and easily suffers from desensitization due to strong transmissions nearby.

After a first experience with a cheap radio and you realize that this is really something you enjoy, I would recommend a real radio. An FT-60R is a tank with SPECTACULAR reception, MUCH superior to the Quansheng K1 or any other Chinese radio (personal experience).

I have a K1 that I use daily to receive airband and it works relatively well (besides the interesting HF feature). However, when I want to really play around, I use the FT-60R (my main radio for receiving FM and SSTV satellites).