You don't say what kind of radio you're using, or what environment (car, wood-framed house, steel office building) you're trying to listen in.
For the home, probably the most well-known receiver is the <a href="http://www.amazon.com/exec/obidos/tg/detail/-/B00000J061/ref%3Dpd%5Fsl%5Faw%5Falx-jeb-2-1%5Fce%5F2103823%5F3/102-8492866-3314503">GE Superadio III</a>. Relatively inexpensive and highly thought of. See also http://mysite.verizon.net/vze20h45/radio/superadio/gesr_faq.html
If you have a radio that has external AM antenna terminals you might try something nearly free: hook a hunka wire to one of them. All an antenna is, is wire or some sort of electrical conductor. Without getting into antenna design at all, bigger (more wire) is usually better. And if you can ground the other terminal, then do so. Usually the center screw of your electrical outlet cover is grounded, if you have 3-prong outlets. Be careful around electricity, of course.
If your radio doesn't have provisions for an external antenna you might just try moving it around. Turn it this way and that, seeing whether your reception improves.
Look around for sources of electrical interference. Fluorescent lights and computers are notorious noisemakers. If you can move your radio farther away from them you'll be in better shape. Try turning them off first to see if they're the problem.
Try Googling "AM radio reception improvement" or similar words. Lots of people out there are in the same boat as you are, and many have posted pages dealing with their experiences.
Good luck - let us know what you find.