I recieved a shortwave radio for a grad present a few years ago! I'm so glad to see this thread!
I have the Grundig G4000A which is the predecessor to the G5. It's great for a portable, and the thing about the newer G5 is it's small enough to take on trips. The radio has SSB (Single Side Band) which means you can eavesdrop on Ham radio operators chatting with each other.
Before you make your final purchase, I totally recommend picking up a copy of
Passport to World Band Radio (website
http://www.passband.com/) It features comprehensive reviews of radios and antennas, a great guide to getting started in shortwave, and relatively accurate programming and frequency guides. Local Chapters stores in town may have it, or you can order online. Another guide is the World Television and Radio Handbook which is really only worthwhile if you are a very serious DXer. ("DX" is old telegraph shorthand for "long distance". Today, "DXing" refers to listening to transmissions not intended for your area. Due to the scattering properties of Shortwave and AM radio, that is possible.) That guide won't help you learn about shortwave. Passport is your best bet.
I mentioned AM radio, because shortwave radios often are very good at picking up local AM stations from far away. I have tuned in to tons of radio stations around Canada and the US on mine.
Another awesome thing about Shortwave is getting QSL cards. If you communicate with a station that you heard them, they will send you back a card indicating your reception was reported. I have gotten cards from Austrailia, China, the Czech Republic, Cuba, South Africa and other countries! Often they include little trinkets like fridge magnets or newsletters. I even got a ballcap from Radio Austrailia for answering a trivia question!
You should be aware that the sound quality of shortwave radio is not as good as AM or FM radio. But it is so interesting listening to programs from a faraway place, so it doesn't matter!
A few of my favourite stations to listen to are Radio Habana (from Cuba- great music every night, clear signal here in Calgary), Radio Japan (great cultural programs- I remember listening to a great documentary on how Samauri swords are made!) and the Voice of Korea (Yes, North Korea- creepy, yet fascinating to listen to!).
As MRCboicgy mentioned, it does take patience to find good signals and get used to schedules on shortwave. But it is totally worth it!
A few photos:
The cap I won from Radio Australia. The broadcast for Asia and the Pacific, but are clearly audible here.
My SW radio, the Grudig G4000A. You can also see a bit of a QSL card I got from Germany.
A QSL Card I recieved from Radio Habana Cuba.
