There are several places you can go to find reviews of HF receivers. Go take a look at the
Utility Monitoring Wiki
and you'll find there's a section devoted to the topic.
Unless you really want to break the bank, so to speak, and go for something like an Icom R8500, try doing something seperate - a good HF receiver (like an Icom R75, a lot of attention has been paid to that of late) and a decent antenna will get you started. Heck, for even less money (but still a very capable choice) is a Ten Tec RX320D - which shows up on EBay used from time to time. There's even an Icom R75 Wiki page in the Icom section.
Radios like the Alincos or even the AORs are something of a compromise when it comes to HF - good strong signal handling and selectivity (the ability to seperate 2 stations that are close in frequency) are absolute musts, and these kinds of radios simply can't deal with it. The handhelds, in particular, are no joy if you try to put a good sized antenna on them - they quite simply can't handle that much signal input. Stick with seperate receivers for HF and scanner bands - you will do much better, and it'll be more flexible, too.
Oh yes, on Antennas - well, we've got a
Antennas Wiki
for that, too....73s and GL..Mike