Last year while developing Linux drivers for digital TV, Antti Palosaar noticed a hidden debug mode, which allowed you to sample relatively large chunks of radio spectrum. Thanks to this the RTL-SDR library was born and Software Defined Radio was available on the cheap, after all these dongles tend to cost less than £20.
The software scans a range of frequencies and plots the result, allowing you to find signals to investigate. The RTL dongle has a maximum bandwith of about 2.8MHz but with this you can scan the full range of the dongle, allowing you to see signals with ease. For example the screen capture shows my local FM radio stations.
Once you've installed the RTL-SDR library the dependencies are a little more involved. On Ubuntu 12 installing them is straight forward using the Software Centre, Windows is trickier and although I've had reports of it working on OSX I haven't had the chance to try it.
Each of these dongles is based around the RTL-SDR library chipset which interfaces the computer via USB to a tuner chip. Several tuners are available, I've tried a FC0012 and E4000, the latter was recommened but is now hard to find so the Rafael Micro R820T is the one to look for. Details of compatible dongles are listed on this page.