I got the Optimus radio from Radio Shack with TV/AM/FM/Weather. It is compact, has speaker and earphones, 2AAA, digital tuning. I paid something like $70 for it, I am embarrased to say. I find that the TV and Weather band reception is very poor and I would not recommend it. The best dedicated weather radios offer some nice features you will not find in a multi-band, such as alerts and county-specific messaging. But you don't really need that stuff if you just want to hear the weather forecast. If folks are saying that the Sony works well, I'd go with that one.
The nice thing about a TV band is that during a public emergency, the TV stations will be broadcasting continuous live news coverage, whereas the radio stations will probably not be as up to date or continuous unless you are in a major market like NYC. Of course, broadcast TV is supposed to switch over to HDTV and phase out their current frequencies, so that will eventually make the TV band radios obsolete on their TV bands- but that could still take many years.
I have a shortwave radio, but I really don't see any practical use for it. There is very little stuff broadcast on shortwave and that is mostly weird, esoteric stuff or in languages that I don't understand. Unless you are a serious radio hobbiest, I would not bother with it.
Now why NOAA doesn't just broadcast on a frequency that any AM/FM radio can receive is beyond me.