For HF, almost any quality coax will be fine. For VHF & UHF, you'll need some good quality low loss coax. For 800 MHz frequencies, you'll need some good quality very low loss coax. For longer runs (100+ feet), move up at least one level. Use the highest frequency you use as what type you need. Use the best coax you can afford for the best results.
Use a Coax Loss Calculator to help you choose.
Coax Loss Calculator
Assuming typical scanner user needs, typical choices are (lowest to highest loss @ 860 MHz for 100'):
* LDF4-50A (2.05 dB loss - lower numbers are better!)
* LMR-400 (3.79 dB)
* RG-8, Belden 9913 (4.101 dB)
* RG-8, Belden 8237 (6.718 dB)
* RG-213, Belden 8267 (7.427 dB)
* RG-8X, Radio Shack (11.846 dB)
* RG-8X, Belden 9258 (12.809 dB)
* RG-58, Belden 8240 (13.269 dB)
* RG-58, Radio Shack (14.414 dB)
* RG-58, Belden 9201 (14.894 dB)
* RG-58, Belden 8219 (16.253 dB)
* RG-58, Belden 8259 (20.481 dB)
As you can see from my chart there are different kinds of coax with the same or very similar names. RG-8 and RG-58 are fairly generic names for styles of coax so pay attention to the specific names after these. I list the Belden numbers for many and the generic "Radio Shack" for what you'll typically find in that store. Also be aware that RG-8X (also know as Mini-8 or RG-8 Mini) is a totally different kind of coax than RG-8, although the name sounds very similar.
Be aware, though, that many companies may sell their coax using just the generic name and the coax you get may vary greatly from batch to batch. What you get may be great one time you order and total crap the next time. This is because they buy whatever may be cheapest for them when they order their lot. One time it may be left-over spools from a quality maker and other times it may be from a cheap junk maker that calls their 1/2" 50 ohm coax RG-8 if you want RG-8 or call it LMR-400 if you want that even if it may not actually match the specs for either type (they may even print the desired type on the coax prior to shipping it out!).
Oh, I almost forgot. If you really want the absolute best, they make some 6 1/2" (perhaps even 8") diameter solid coax with very minimal loss. Turns are made using solid elbows and you must hang them using springs since the copper from the coax expands/contracts at different rates than the aluminum or steel towers. They're also very heavy (think hundreds of pounds per section (generally 16' or 20' per section). This is often used on those 2000' television transmission towers so very low loss (and power handling) are very important.