Almost all amateur HTs can receive "DC to daylight" as they say (with some exaggeration). The issue is size, if you want tiny. My Yaesu VX-7R isn't exactly tiny, but it receives from 0.5MHz to 999MHz, according to the manual. I'm listening to local 810 AM radio on it at the moment, announcing Saxby Chambliss has won. It's been replaced by the VX-8R, which I think is the same size.

If you don't have a ham license yet, you might consider an Icom IC-R5, which lists its receive capability as 0.150-1309.995 MHz. The nice thing about the R5 is that it runs on 2 AAs. The R5 is noticeably smaller than the VX-7R. Because it's aimed at hams, it has CTCSS so you can listen in on repeaters. My R5 is preprogrammed to receive analogue TV stations, showing the channel number. I'll have to hunt down the audio from the digital signals when we switch over and program them into the radio. C'est la vie.

If you want something cheap, County Comm is selling a shortwave receiver for $16 in an unlabelled box:
http://www.countycomm.com/KA202L.htm
or a similar radio in a labelled box for $22 - follow the link to the Embassy radio. I have one of these, and they are cheap. I don't recommend them, but they are cheap.