No matter which scanner you choose, you will at some time want to get an outside antenna. Whether you're just listening to your local police or the police three counties away, an outside antenna will greatly improve the signal and pull in those noisy stations that you could barely hear with a rubber duck or whip antenna. If you have a hand held and don't want an outside antenna then stop by Radio Shack and pick up this little telescoping whip antenna. Get the best coax you can afford. You want the one with the lowest loss.
All coax has loss but the better quality ones can minimize loss.
I recommend these. The 9913F is the single best flexible coax on the market. Don't forget to also buy quality connectors. I recommend the silver plated connectors. Don't buy the ones from Radio Shack unless you have no other choice.