Here are my two, one at the house, and one when I'm camping. Both are highly configurable, allowing you to choose which specific alerts will alarm and for which county.
[Edit: It looks like the WR300 has maybe been replaced by the WR400]
Weather Spotter here!
I have this Midland HH54VP2 model and for the most part love it. The slight problem is Midland's batteries aren't the best, so you'll want to keep it charged and may need to order additional batteries. The thing I love about this model is it has Tone, Voice, and Visual alert modes (or all 3). Whenever it goes off in my house, I get a loud tone, the display flashes, and then it immediately tunes in to the Alert broadcast so I hear what it is. It also has a text read-out display so if I am not right by it, I can see what the alert was.
The other one I like is the Cobra CWR 200 Weather and Emergency Alert radio. Cobra has better battery life. This one is nice as it can charge your phone if you needed it. I had one before our move and left it with a friend who didn't have one at all.
I also recommend a desktop WX radio that can be left at home at all times. This way you have one that is on stand-by at home 24x7 and your portable can go with you in the car, hiking, or to work.
You may also find this Weather Station and Portable Alert Radio useful, although I haven't personally used this model.
Some apps, if you're on Android, I highly recommend are Dark Sky, RadarScope, and MyWarn. I also have the Weather Radio app but lately it's only advantage is Text-to-Speech reading of the warning like a Weather Radio, which can suck when you're in a crowded place and don't want your phone talking.