I've used a shortwave radio throughout Central and South America (as well as North America, Asia, Africa, and Australia). I must say that it was one of the best pieces of equipment I brought (after the GPS perhaps). It is quite comforting to be able to tune in hear some news, or just plain hear some spoken English :-)
One thing about SW is that you'll usually only get good reception during the evenings when there is less "noise". The good news is that we're usually travelling during the day, so catching up on news in the evening is perfect.
As mentioned, digital tuning and station presets are useful. Another consideration is battery life - you don't want a radio that sucks down batteries.
I have a Grundig SW radio. It has been flawless and quite efficient with batteries. It has a sleep button which saves batteries, as well as an alarm. The only complaint with my model is that it doesn't have a backlight so it's hard to see the dial at night in my tent. However, usually I use the autoscan feature so I'm not manually tuning anyway.
Check out the Grundigs before you buy. They have a reputation for reliability and features.