I go through phases of listening to my shortwave radio. It can be fun and it’s the only way to hear broadcasts from some countries or clandestine broadcasters. No, not all audio or all broadcasts are available on the internet yet.
Really nice shortwave radios can be pretty expensive, and probably aren’t available in a local store unless you live in a very major city. The models at your local Best Buy or Circuit City can be quite decent, though sometimes overpriced.
So, buying a used radio can be a good option. Some decent and very cheap Chinese-built radios are also starting to show up.
Weatherall has some really good tips for picking up one of these radios on Ebay.
To get a taste of some of the alternative voices available on shortwave, listen to Dan Roberts’ excellent weekly program, the Shortwave Report.
To learn more about unlicensed and pirate broadcasts on shortwave, listen to Ragnar’s Pirates Week.