From our utility monitoring wiki...the packages I will mention are all listed here...
http://www.chace-ortiz.org/umc/software.html
Doing digital tuning on HF takes a bit of patience; not everything is decodable. Hunt and pounce methods (tune into a signal, fool around with it....) is not always the best way to go, particularly for newcomers. You're much better off if you start with things that can be
decoded easily.
Skysweeper is generally considered one of the better sets of packages out there - expensive but it's well supported.. However, for those just getting their feet wet, I generally recommend PC-ALE and PC-HFDL (the free version). So that you can decode NAVTEX, FAX and Sitor-B (all of which can still be found on HF), the inexpensive SeaTTY is a good choice. Apart from a few Aero and weather stns (and hams, of course), there's very little clear RTTY anymore.
For active freqs, pay attention to:
http://groups.yahoo.com/group/udxf/
I would also drop by our Utility wiki at:
http://wiki.radioreference.com/index.php/Utility_Monitoring
and read the HFDL, NOAA HF Sitor Schedules, COTHEN and USAF High Frequency Global Communications Systems articles.
To be successful in this game, you also really need to understand the science of propagation. The Wiki has a few links on that subject, too.
73s Mike