The Realistics are available at any Radio Shack . Their prices are excellent. Good antennas will give you better sensitivity, allowing you to hear stations which are less powerful or further away. Building antennas is fun. One simple trick is to hang a wire out the window or up a chimney and connect it to the built-in antenna with a clip.
Many radios also come with an external antenna plug which is easy to wire up.
Radio Shack also sells some kits that work well. Much additional info can be found in the rec.radio.shortwave archives . If that site is busy, here's an alternate site .