I have known about these RTL-SDR dongles for a while now and I finally got my hands on one. They were originally designed to be TV receivers but are capable of being used as VHF and UHF software defined radio receivers when used with the proper software. They are also capable of operating on FM, AM, and SSB modes. Any radio enthusiast will tell you that these are very powerful devices for a mere $17.
The model I purchased from eBay is the TerraTec T-Stick with the European PAL style coax connector:
Once you have the hardware, the next step is installing SDR software. I am running the Ubuntu 12.04 operating system so I installed GNU Radio. Instructions can be found here. http://blogs.bu.edu/mhirsch/2012/07/installing-gnu-radio-in-ubuntu-12-04-x64/ and then the Gqrx tuner software which can be found here. https://github.com/csete/gqrx The README file has instructions on how to install the software.
A good tuner software for Windows is SDR#. http://www.sdrsharp.com/
The Gqrx interface is somewhat straightforward. You are greeted with a spectrum analyser display with a waterfall. It has all the basic rig control functions such as squelch, RF gain, mode control (AM/FM/SSB), etc. With 15 minutes or so of experimentation, one can get very familiar with how things work.
The last item to address is the antenna. You might as well throw away the antenna it came with. The only thing it will be useful for is picking up FM broadcast stations and pointing at things. A good antenna to start with is an off-center fed dipole. Here is a link with instructions on how to build one on the cheap. http://wiki.radioreference.com/index.php/Homebrewed_Off-Center_Fed_Dipole
I would recommend building the wire version. These dongles were designed for TV reception. TV cable and connectors are all 75 Ohm. This design starts with a 300 to 75 Ohm TV matching transformer as the feed point for the antenna so it's no issue using 75 Ohm TV connectors and cable for your needs.
Here are the Radio Shaft parts you'll need:
-- 300 to 75 ohm matching transformer: http://www.radioshack.com/product/index.jsp?productId=2062054
-- Female 75 Ohm coax coupler: http://www.radioshack.com/product/index.jsp?productId=2103459
-- Male European PAL Adapter: http://www.radioshack.com/product/index.jsp?productId=2103468
Also, you will need a length of 75 Ohm coax to fit your needs. If you can find these parts at a hardware store such as Lowe's or Home Depot, you will probably save a few dollars. I don't know for sure if a hardware store would have everything you need, however.
Where you go from here is up to you. There is a never ending list of interesting things to hear out in the æther such as the International Space Station, aircraft, amateur radio operators, and emergency service responders. This will get you started in the adventures of radio receiving with a very powerful set up right off the bat!