One of the latest buzzs in the SDR world is the RTL-SDR Project.
The idea is to use the cheap (they used to be below US$11 and now start at US$20) Digital TV (DVB-T) receivers, which are intended to be used with PCs and have a USB interface.
These are the innards of one of these units:
The compatibility list is expanding and, currently, accessible here:
What you get is a 64 to 1700MHz (*) receiver, with an amazing sample rate of 3.2MS/s (compare it to your soundcard!), a resolution of 8 bits/sample (not that great but enough for lots of purposes). And the best: software support for GNU Radio, Winrad, HDSDR, ... So far, there are decoders implemented for AM/FM, GSM, P25, ADS-B, TETRA, GMR, GPS, etc.
(*) (sometimes even more; there are some gaps at 1.2GHz or so)
You can check the latest news about this project here:
It seems that all started here:
The way to integrate these receivers with a common SDR program, as Winrad, HDSDR, WRplus or other Winrad derivatives, is by using an external DLL, which can be found here:
There are already plenty of YouTube videos showing how they work. It is still a work in progress so don't expect to get them going withouth glitches but, at that price, it is worth the work :-)
I have got a couple units to experiment. I will publish here my results as soon as I get them working. This is what I got for less than US$11. The small box is the receiver!
Best regards and good luck with your SDR experiments!