Many, many kinds of clandestine stations, to this day. One type was known as "spy and numbers" and typically broadcast strings of numbers (digits) spoken in any of a number of languages by a single voice. Others are pirate stations, others are indeed rebels broadcasting within (or to) their countries.
There are still some AM hams, too. You'll eventually want a receiver with a BFO so you can listen to SSB (single sideband) hams so they don't sound like ducks.
Do you know these guys?
http://www.universal-radio.com/
Everything you could need, or want, for SWL, amateur, and more. Print catalog available, too.
Get a copy of the PASSPORT TO WORLD BAND RADIO
and/or WORLD RADIO TV HANDBOOK. These are both yearbooks; you might be able to find a few-years old edition at a library book sale or fleamarket. Great resources including reviews of (new) radios.
Radio Nederland's still about the best SW game in town. Lots of info on their website, too (ironically enough):
http://www.rnw.nl/cgi-bin/home/enhome.pl