I second the rtl-sdr.com site.

There's a lot of cheap (as in not very good) stuff out there. I have 3 goto SDRs in my collection. The RTL-SDR.com Blog V4 dongle is a great--and affordable--starting point. You're only out ~$40 if you decide this isn't for you, but if it is, the 27 MHz to 1.6 GHz coverage will keep you busy. If you are a ham, or enjoy short wave listening, go with the Airspy HF+. Covers 0.5 KHz (I've seen reports of ultrasound experiments with this!) through HF, and VHF bands. For the price, this is the highest quality SDR I have. Great sensitivity, low noise. Rounding out my small collection is the Great Scott Gadgets HackRF One, which is pretty much a radio lab in a box. 1 MHz to 6 GHz, 20 MS/s (albeit at only 8-bit quadrature sampling), and can transmit. (As an added bonus their teaching videos are very good.)

BTW, I have no problems with running these 3 SDR devices on Linux, if that is a consideration.