Alternatively, an RTL-SDR Dongle ($13) and an HF Upconvert ($53) is a darn cheap SDR setup as well.

For under $100, the Grundig G3 is a great shortwave receiver. It also does sideband so you can listen to the amateur radio bands (I'm a ham, so this is a nice feature for me). I've got mine hooked up to a 200' longwire outside and it's fantastic.