I dont know much about scanner, so please bear with me:
Welcome to scanning. RR is a great place to learn and feel free to ask questions, regardless of how "dumb" they may sound. We all had to start somewhere. One thing though, search both the forums (search is in the upper right corner of the page) and the WIKI since many answers are there if you look.
Another thing (yea, I said above "one thing though", but this is important) provide details on your question, including links to the systems, agencies, counties, etc. if appropriate. It's much easier to provide a good answer to a question like "I'm having trouble trying to pick up my local Sheriff on my RS Pro-95. I think that they're on this system
Jacksonville City Public Safety - First Coast Radio (Motorola) Trunking System, Jacksonville, Florida - Scanner Frequencies. I know I have it programmed right since I can hear the trash trucks and busses." (The answer would be that the Sheriff is digital that the Pro-95 can't get and they're encrypted so no scanner will get them.)
What's the shortcoming of the antenna my PS800 came with? Won't it cover most situations?
The stock antenna is a general purpose antenna that will work for most anything, but not necessarily well on any of them. It's good if you need to scan all bands, but can easily be beat if you only listen to one or two.
What could a 800MHZ antenna do that I cant already do?
It is optimized for the 800 MHz band and will work very well there. It won't work nearly as well on other bands (like VHF-Low - 40 MHz or so, VHF-Hi = 150 MHz or so, or UHF - 450 MHz or so). Since so many of the systems are in the 800 MHz band it's a good antenna to use. If your local systems aren't there though, other antennas will work better.
What other antennas would be needed for specific monitoring situations ... e.g. aircraft; ENS; RR's, Police; ambulances etc?
Be aware that an antenna is designed for a certain frequency band and not for a certain type of communication. An antenna won't care if the signal is analog or digital or if the users are PD, Fire, or your local taxi company. If the antenna is designed to work best for the range 140 - 160 MHz it'll work well for any signals in that range. It will also work on other frequencies, but not necessarily very well.
Be aware that some folks will say that an antenna covers "all scanner frequencies" and will transmit on only a few short ranges. You should read that as the antenna is designed to work on the few ranges it will transmit on and you may also get some signals on the other frequencies, but don't count on it working well on them.
Some antennas can be designed to work well on multiple frequency ranges. These are often the 140-160 MHz (VHF-Hi) band and the 430 - 470 MHz (UHF) band. This is due to the popularity of dual-band ham radios. These antennas are good performers for scanning in these ranges as well. You can often get good performance on receive both above and below the specified ranges, but as you move further away their performance may drop as well. There are also scanner antennas with more ranges that are popular as well.
First check to see what frequency range(s) you need the best performance on (the fewer the better) and second what connector you need for your scanner (most often it's BNC or SMA). For a portable antenna you'll need both to get one that mounts directly on your scanner. Then search the web for an antenna that'll do what you need and has the correct connector on it. Once you've selected one or two search to see what folks are saying on RR about them or ask if you can't find anything (rare, but it can happen).
For a mobile or base antenna there's a bit more to it since there's not only the antenna, but the antenna mount, the coax feedline, and possibly tower with grounding. I'll not touch on this now since you're probably a bit overloaded already. It's not really hard, but does take some learning.