The best antenna is the one that's designed for the band that is most important to you. The Radio Shack 800 MHz antenna was designed for the 800 MHz band, but it works pretty well on other bands. Other popular choices are the Diamond RH77-CA or the Austin Condor. For decent low band performance, the antenna should be long. You might try the Radio Shack telescoping whip for low band.
The only aftermarket hand held scanner antenna that I know of that was designed to be an "all band" scanner antenna is the Austin Condor. Most others out there are really single or dual band ham radio antennas, or professional two way radio antennas.