A good basic all around scanner antenna is the ScanTenna, or a Diamond Discone. They're both wide band antennae, and lots of people have them, use them, and are pleased.
If you want the highest gain, you'll ultimately need a directional yagi beam antenna, either pointed towards the city/area you want to listen to, or on a rotor. With a beam, it will only recieve what it's looking at, so stuff off to your sides and especially to the rear will be non existent.
A rule of thumb, the higher up you can go, the more gain you'll recieve. I have a ScanTenna at about 15 ft, and I have no problems recieving agencies within about a 45 mile radius. I can't vouch for the discone type antennae, I've never owned one.