Tried playing with SDR a while back. Back then, biggest challenge was to find an appropriate hardware that can receive at various frequencies and also compatible with my Linux box.
Rtlsdr are extremely cheap to start with. Then maybe Hackrf one? They're all (?) trivial to use on Linux these days.
If you want to go even a step up in the trvial to use ladder, there's the Portapack H4m project. It builds on the HackRF One and adds a screen, custom firmware (open source, extensible) into an handheld factor and lets you do a bunch of... _stuff_ without needing a computer :) Also not _that_ expensive, I got mine for about 400€ from lab401.
The HackRF has a super wide range and works great. Highly recommended.
Things have improved a lot. These days GNU Radio (via OsmoSDR) supports all the big hobbyist-price-point SDR vendors, and most of them go from ~50MHz to ~6GHz.