Home brew antenna projects are always fun. Especially for scanners, where you can either make up stuff as you go along, or make mistakes without worrying too much about the consequences. The worst I've ever done is throw away about $5 worth of junk. You can roll your own in one day and spend less money on it than you would spend on a trip to the movie theater.
Mash here for a thread on a center fed dipole antenna. This one will cost you less than a trip to Blockbuster and can be mounted inside.
Mash here for a thread on building an antenna that will impress the hell out of your neighbors and make them think you're an electronics whiz.
Mash here for a thread on a project I finished in one afternoon and spent less than $50 on. It also impressed the neighbors.
Don't forget the Antenna Wiki. All sorts of wierd and interesting antenna projects.