This two-volume series is one of my favorites. Good general overview on doing interesting things with receivers. Read this "backwards and sideways", and you'll learn a lot. WARNING: May cause debunking of conspiracy theories, and altering of status-quo reality picture. You have been warned.
Seriously, the best (and often least expensive) gear is that which you make yourself. You know, like back when Amateur Radio was taken seriously as a technical service, and hams usually built their own gear. This book shows you how to do it.
Many items described in this book can be ordered as kits from Kanga in Ohio. - http://www.kangaus.com/
This one is a little more beginner oriented. Another favorite of mine. "Stone tools and yer bare hands" type receivers. The cover subtitle "How to Build Working Radio Receiver Components Entirely From Scratch" is not joking. Real simple techniques in here. Start with this one if you are afraid so far.