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.

Oops! I suppose I should have mentioned that!

Grundig G3 globe traveler. It's the best radio I can afford right now. The cheapest I could find that did SSB. It has an external antenna jack in the form of a TRS connector. Historically, I've used a patch cable to connect it to my external antenna contraptions and I connect another conductor on the patch cable jack to ground. I think that's doing it right.