People shopping for their first shortwave receiver often have a budget in mind, and may have checked out one or more radios at retail stores. I always recommend purchasing online or via mailorder, which provides the advantage of wider selection.
Don't assume that the retailer you visited offers the best receivers for sale. Radio Shack, for example, sells the Eton E10 and E100 radios, which are single-conversion radios that are cheaper when ordered direct from China via eBay (as the Tecsun PL-550 and Tecsun PL-200 respectively). The feature set of those radios does not really justify their prices, in my opinion.
The most important factor of a shortwave radio is how well it implements its capabilities. To get more detail on the radios mentioned here, read and consider the radio reviews available on the internet. I used a combination of reviews from Radiointel and Amazon when selecting my first radio, which was the Kaito 1102. eHam.net lists many user-submitted reviews, so for each product, you'll have to determine which reviews seem the most credible.
This guide defines some expectations for six particular price points, along with radio suggestions to get you started. My radio experience is with portables, so that is the main focus of this guide. I have not used many of these radios, so recommendations are based in part on what I know from reading reviews, usenet posts, and product descriptions. Price estimates are in US dollars.
* $30-50: You can get a basic analog radio or an analog-tuned digital-display radio. These don't have direct frequency entry or station memories. The tuning scales of analog radios are imprecise, which makes finding and identifying stations a challenge. Frequency drift can be a problem, requiring readjustment after locating the station and listening for a while. Radios in this class will have a small (and small-sounding) speaker, but may provide better audio when using headphones or external speakers. Analog shortwave radios provide certain bands with a band switch, so continuous tuning of the 3-30 mhz shortwave spectrum is not available.
Recommended: Kaito WRX911, Tecsun R-911, Tecsun R-912, Tecsun R-9012, Grundig G1000A, Tecsun DR-910, Tecsun DR-920
Not recommended: Kchibo radios
* $50-70: You can find a digitally-tuned radio in this price range. As of now, radios around this price lack SSB. Shortwave reception may be single- or dual-conversion.
Recommended: Kaito 1101, Kaito 1107, Tecsun R-9700DX, Degen 1105 (the 1105 is an addition suggested by mcdonald606a on rec.radio.shortwave)
Not recommended: Grundig G2000A (below-average shortwave reception), Grundig/Eton hand-crank emergency radios (shortwave reception is not the primary design goal of these products, and they are bulky compared to other portables)
* $80-100: Here, you can get a digitally-tuned, dual-conversion radio with SSB. Station memories and a full-featured LCD are common. The radios typically include a jack for an external shortwave wire antenna, but be careful of overload.
Recommended: Kaito 1102, Kaito 1103
Not recommended: Eton E100 (small and attractive with an easy user interface, but single-conversion and lacking SSB), Sangean ATS-505 (Russ' review on Radiointel.com states that this radio has poor AM/mediumwave performance)
* $120-150: Radios in this range have outstanding shortwave reception, SSB, station memories, are typically larger than radios in lower price ranges, and usually have a line-out jack in addition to the headphone jack.
Recommended: Sony ICF SW7600GR (excellent shortwave reception, nicee speaker, durable, straightforward user interface, synchronous detector, USB/LSB switch for SSB, variable antenna gain), Eton E5 (similar to the Kaito 1103 with a better user interface)
Not recommended: Eton E10 (larger version of the Eton E100 with an antenna tuner; single-conversion, lacks SSB), Grundig YB-400PE / G4000A (unnecessarily large, doesn't seem to offer more than the cheaper Kaito 1102). I call the YB-400PE / G4000A a radio from a previous era.
* $200-250: Sangean has a couple radios in this price range. I have never used the ATS-909, so be sure to look around for reviews and user comments if this radio interests you.
Recommended: Sangean ATS-909; although some feel that it needs the Radiolabs Super 909 modifications to provide good performance. The blue backlighting looks awesome too!
Not recommended: Sangean ATS-818ACS (includes cassette tape recorder, but reviews claim underwhelming shortwave performance)
* $500-600: Radios at this price are what I'd call tabletop radios. They may take batteries but I believe most users of these radios are using power adapters.
The Grundig Satellit 800, an aging and moody workhorse, has at long last been replaced by the Eton E1 (previously known as the Satellit 900). The biggest oddity of the E1 is that it does not have a ferrite bar antenna for mediumwave (AM), eliminating directional reception unless an external antenna is added. The E1 seems to finally be available in North America without the XM satellite radio capability, but the price is the same with or without it. Also be aware that certain E1s have been recalled due to a logic board defect.
Recommended: Eton E1 - consider an external directional AM antenna, and be aware of the recall due to a logic board defect; Icom R-75 (coverage from 30 khz to 60 mhz)
Not recommended: Grundig Satellit 800 (a lot larger than the E1, variable reliability from unit to unit, may only be available now as refurbished or used)
Thanks to Radiointel and eHam for their excellent shortwave receiver reviews! Comments are always welcome, especially if you disagree or want to mention any radios that were not mentioned here.