You absolutely MUST decide what you need to hear first. What you even CAN hear will vary depending on where you are, though.
And don't be surprised if one scanner just won't do it all, either.
Examples: A Pro-95 will do just fine on the Tulsa trunked system, but won't do MilAir (300-400MHz AM) and won't pick up EMSA once they go digital.
My 10 year old Pro-60 will do MilAir, but won't do trunking of any kind.
My Pro-95 won't track one of the local tow truck companies (UHF LTR trunked) but my Pro-92 will.
And my Icom R-5 won't do any trunking at all, either, but can't be beat when it comes to 10m (28.300MHz) sideband. None of the others do anything but AM or FM, so once you go below 29MHz - where everything goes to sideband - they go "deaf". You can pick up "some" sideband by tuning AM, but the filters are 2 to 3 times wider than the signals, so you tend to hear 3 conversations at once!
And if you really want to hear low HF Dx, you can't beat a good HF radio with DSP filters - but my IC-718 won't tune above 28.999 at all.