Install your antenna properly

The antenna system is the key to reception at shortwave frequencies.
The antenna itself can be very cheap: $2 worth of hookup wire can make a great antenna. It's the installation of the wire that counts. Coax is not magic: it basically works by conducting noise pickup to ground. It is therefore essential to ground the coaxial shield well: fanatics will use two ground stakes, one near the house, one at the base of the antenna, and bury the coax cable in between.
I've experimented with pickup of my computer's 25 MHz clock, and found that ungrounded coax picks up 36 dB more than grounded coax in my setup. That's a factor of 4000 in power!

Keep the antenna itself away from all kinds of utility lines: power, CATV, and telephone. Remember that your house is full of this stuff, so keep the antenna away from your house. An "inverted L" run up a tree and then over to another tree works very well.

A matching transformer will prevent the "deaf spots" that you may get at antiresonant frequencies. For an end fed wire antenna, these occur when it is near a multiple of 1/2 wavelength in length). Generally, the longer the wire, the less you'll notice these.

If you want to buy a matching transformer, I like the Model 180 from ICE at (800) 423-2666 or (317) 545-5412 (no interest, just a satisfied customer). I've also posted instructions for winding your own; maybe I should repost.

Fancy brand name antennas will perform well if properly installed, but so will simple wires. Spend your money on ground stakes.

An antenna tuner will improve signal transfer from the antenna to the receiver, but that's usually useless: modern receivers are so sensitive that this will rarely make a difference in your signal to noise ratio. A passive preselector may help with overloading due to out of band signals. At shortwave frequencies, active preselectors and preamplifiers only increase your susceptibility to overload in an otherwise properly functioning system. If a preamplifier helps, there's almost certainly something wrong with your receiver or antenna system, and you'll get better results if you fix that.

(Note that the advice changes at VHF and microwave frequencies: scanner folks may well find that careful matching and low noise preamplifiers are worthwhile. The reason is that the natural noise level declines with increasing frequency, so greater sensitivity can be useful.)

I find that the difference in the number of listenable signals between an indoor antenna and a properly installed outdoor antenna is often a factor of ten or more. The difference between a $200 receiver and a $1000 receiver is more like a factor of two in the number of listenable signals, and some find no difference at all: the extra performance of the fancy receivers costs not only money, but knowledge and skill as well.