We have a Midland WR-100 we picked up at Wal-Mart in the Dallas area for about $30. It has S.A.M.E. codes which allow you to limit the alerts to certain counties, which is useful in places like Dallas where the alerts seem to be mostly north of the city. You can get the codes off the internet. This unit will also run off battery for a while, not just from a plug, so you can check it periodically while driving during dangerous times.
I am sure there are other units that are just as good, but when we bought it they had them in huge stacks and it has served us well.
But it is only as good as the weather service. Yesterday here by Portland, OR we had a t-storm with good wind, lightning and small hail. Just after it passed the weather radio alerted us. Compared to the Midwest, the t-storm was a baby, but we would have liked advance warning.

Edit: We have also received one "Amber Alert" on the radio, which we thought was interesting.


-- Edited by bjoyce on Sunday 3rd of May 2009 09:30:19 PM

We have a Reecom 1630 weather radio $60. The best feature it has is the ability to select which alerts set off it's alarm. I have it set to only alarm on Severe Thunderstorm warnings and Tornado warning. That way we're not woken up in the middle of the night by all the different watches that accompany storms like flood watch or severe weather watch. You can still read them on the display and the flashing lights, but you can sleep through the watches and only get woken up when there's a warning. Then you can listen to the alert and decide what to do. http://www.reecominc.com/