I don't carry it every day now, but I've carried a small scanner, an Alinco DJ-X2 at times. It's about the size of a stack of maybe 8 credit cards (plus the antenna). It receives broadcast AM, FM and TV audio, plus all the usual (non-trunked) scanner coverage. I'm not sure offhand if it covers shortwave. (But I've heard enough Gene Scott to last a lifetime.)

Many modern ham radio handhelds, at least the expensive ones we all want, have receivers that can double as AM/FM/TV and even shortwave broadcast receivers as well.