Thats a loaded question... THere are many variables, like what do you want to listen to? How far are you from the source, what are you willing to spend, mobile, base.... and many more questions with just as many answers!
At home I use a discone feeding a DLI Multicoupler. The antenna is 60' plus high and I use LMR400 coax to the multicoupler. The multicoupler feeds 16 scanners/recievers which also have LMR400 running from the multicoupler to the radios. Not a cheap setup by any means, in fact it's rather expensive.
Mobile I have a RS mobile scanner all band antenna which works well. That feeds a Stridesburg 4 chanel multicoupler and 4 scanners.
You wont see enough loss using an SMA to BNC adapter to worry about...