Welcome to the forums Noel. You question is very general and broad in it's scope. I think before anyone can effectively address your question, we would need some more information from you.
1) What exactly on HF are you interested in receiving; shortwave broadcast stations, ham radio operators, aircraft, utility stations, etc. The different modes come into play here - AM, USB, LSB, CW.
2) What type of operation are you looking for? Do you want a more permanent setup with a desktop receiver and antenna mounted outdoors? Something that is more portable with a built-in whip antenna and maybe a small reel antenna you can take on holiday?
3) Are you looking to buy new or used? What is your price range? Are you looking to spend a smaller amount initially to see if it's a hobby you want to invest more in, or are you ready to go full speed ahead and plunk down more money for more radio from the beginning? There are receivers available for just about any budget.
Give some thought to the above factors. When you have an idea of some of the specifics of what you want to get out of the hobby and how deeply you wish to invest in it, then there should be no shortage of people willing to put forth their recommendations. Again welcome!