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I'm surprised the RTL-SDR hasn't shown up here yet. It's a DVB-T USB dongle that has a nifty feature, the receiver IC can be set to send the I/Q streams raw over USB to the host computer. There's a GNURadio driver for it. It only has an 8-bit A/D but can run up to about 2.8Msamples/sec. Frequency range is 64MHz-1.7GHz. For only about $30 it's a fantastic way to get started. I'm waiting for mine to arrive, I ended up ordering from seller nooElec on eBay. I'll post when it arrives and I get it working

Some handy links for getting started:
rtl-sdr
Welcome to the rtlsdr.org wiki! [rtlsdr.org wiki]
Getting Started With RTL-SDR
RTL-SDR community on Reddit