I just want to add to what the other commenters said. If you have a clear channel and under the right conditions, it may be possible to receive much further than you'd expect. The only thing I would say is that you must invest in good, professional quality cable, antennas, possibly filters and possibly low noise preamplification. I say "invest" because you should have no expectations that you can go to the Shack or to a scanner supplier and buy consumer-type equipment and have any more than random success. Your results will be gauged on how much you spend, and even then there are no guarantees. This is a hobby unto itself and goes beyond casual monitoring. You have to ask yourself: "How far do I want to take this?"
In NJ, before I moved, I had several thousand dollars invested in antennas (I used 10 dBd UHF antennas that cost about $1,200 each new - you can get them used if you look around; I also had VHF and low-band antennas, with many omnidirectional and directional combinations), 7/8" LDF cable (this is what many professional radio systems use, at about $6/ ft or more... copper is commodity priced; you can also get this used), several different types of GaAs FET, bipolar and MMIC preamps (buy these new), bandpass and reject cavities (used are okay) and a very good receiver (Icom R-7000... this is dated now, and the older receivers start to have sensitivity issues until they are reworked and realigned). I also had a number of scopes, PL/ DPL decoders and other stuff. With this setup, from my old house in Bergen County, I was able to reliably receive 4 states under normal conditions and, with enhancement, I could receive much of the northeast and central Atlantic states. As I said, it ain't cheap and there are no guarantees.