These days, a cellular capable scanner does'nt hardly exist.
Older scanners, were able to be modified to recieve cellular however. Cell phones anymore, are digital, CDMA, GSM, or some other non-analog type service. The only time you're going to be able to actually listen to a phone conversation, is if the cell phone happens to switch over to analog service, which is rare.
Honestly, it's not worth the trouble to even buy and/or modify a scanner to recieve cellular.
Now with that out of the way -
The area/city in which you live, will highly affect your scanner choice. In rural areas, a basic conventional scanner will quench your scanning desire. A good desktop model is going to run you about $100 to $140.
A hand held conventional scanner will run you also around $100.
Now, if you reside in or frequent urban/city areas, there will be two types of scanners you will need. Either you will need a Trunking capable scanner, or, a Digital Trunking capable scanner.
Check the RadioReference Database, and look under your state and county to see what type of system you will be monitoring. If it's Motorola Type 1 or 2, EDACS, or LTR, you can get by with a trunking only scanner. RadioShack has a few models that are really nice. In a base scanner, choose the Pro-2055, or the Pro-433. Both of these are around the $200 mark, and will trunk all three types of systems.
RadioShacks trunking handhelds include the Pro-97 and *New* Pro-528. Again, they both trunk all three systems.
Now, if you're one of the lucky individuals that live in a BIG city, you're probably going to need a DIGITAL trunking scanner. You might want to sit down for this one. These scanners are top of the line, but you get what you pay for. Be expected to spend no less than $300 for a Digital trunking scanner.
A digital trunking scanner, is the SAME as a regular trunking scanner, but, it recieves digital transmissions. No, it still won't work with a digital cell phone. Under your State/County, if you see APCO-25 being associated with anything public service, be prepared to whip out some ca$h.
Some good Digital trunking scanners include the NEW and very pimp, Uniden base (Can't remember the model, sure someone will chime in), RadioShack Pro-2096, and in hand held, RadioShack Pro-96. There are more, so check out the RadioReference wiki and see for yourself.
Hope this helps...