Well, if we stick to HF for the moment - what kind of a budget are we discussing here? You could get by with a portable (even a Grundig YB400 would do) to the near kilobuck radios (the Drake R8 series, the AOR 7030, the various JRC models). There are also a few computer driven alternatives, such as the Ten Tec RX320, the recently discontinued Icom PCR-1000 and Winradio. Somewhere along the line there's the Icom R75, which seems to be a fairly popular choice, given the number of hits I see on the Wiki page Ive constructed for it.
Software for PSK31 is easy and plentiful to find; Digipan is one, MixW another. There's a great many others. The connection required would be nothing more than a good shielded line from whatever radio you use to your soundcard.
Tell you what; there's a section reserved for receiver reviews on both the SWL Listening and Utility Monitoring Wikis. I would also consider getting a book called Passport to World Band Radio from any number of places (Universal Radio in Ohio, for example). That book contains numerous radio reviews (even if the broadcast schedules are now dated....). On the Wiki, you will find a page or two from the RadioIntel website, run by my friend Ulis Fleming N3LU. Take your time and do some research; many radios now even have a dedicated Yahoo reflector (mailing list). When you narrow down your choices, then you can ask questions on such lists before you buy.
Now as to 'local sources' - briefly stated, there are certain Federal guidelines to listening in to digital signals not meant for the public. This is a bone of contention among many hobbyists, but folks do it anyway :.>> They just don't talk about what they see.
There are, however, some formats that are readily accessible to the public for which software is easily obtained - ACARS, for example.
For some signals, a tap into the radio's innards is needed; for things like ACARS, a speaker connection is all that's needed.
Be a bit more specific with your requirements, and there's lots of folks here who can help.
73s Mike