In the US it differs from state to state. In some states it's illegal to listen to police frequencies while committing a crime, for example, but otherwise OK. So definitely check the laws that apply in your jurisdiction. Also there are some things you'll learn through practice, for example it's considered poor scanning "form" for beginners to sit on a police frequency and call out the action to whoever's around. People with scanners are usually only doing that with emergencies like wildfires, tornado weather, etc.

Radio licenses (in the US) apply mostly to transmission, i.e. talking into a radio on a given set of frequencies. For example, if you want to talk to ham radio operators through a transceiver (a radio that can receive AND transmit) like this one you will need to get a Technician-level ham license in the US, which is fortunately pretty easy. But if you just like how the transceiver looks and don't intend to talk, you can also buy it and use it for listening only.

There are usually some license-free radio transmission opportunities too, for example in the USA with FRS (Family Radio Service)--usually little Cobra or Midland walkie talkies or consumer-looking radios like these and CB (Citizen's Band) radios which come in various types but the handhelds tend to be a bit larger. FRS and CB radios are "channelized," meaning you can't just type in a frequency; you have to select a channel on which to talk, which corresponds to a hard-coded frequency within the radio. FRS and GMRS (this one is a no-test license you can buy for your whole family for I think $70 USD for 10 years) are increasingly being used for things like neighborhood watch and neighborhood emergency preparation. But you may hear kids or businesses on there too.

I can personally recommend the ham license as a great start if you're interested in radio at all. It's basically a free education on radio in general, and the test only costs $15 here in the US. With the ham license you get free range over a broad set of frequencies and lots of opportunities to learn, listen, and talk locally, regionally, internationally, via amateur radio satellites, or with astronauts on the ISS, or using special digital modes over the internet and interconnected mountaintop repeaters (really nice for lazy folks like me). You also get access to a community of people who generally pride themselves on good operating practice, so it's pretty easy to find people who are casual, interesting, and helpful. For shy folks there are modes that are essentially text chat, and the CW / morse code world is a famous bunch of introverts. But even if you just want to listen, the license is worth it IMO because of everything you can learn about radio.