As already mentioned anything other than CB will require you to be licensed, no big deal, a little studying and a test or two later your there... Amateur Radio (Ham Radio) Someone here should be able to link you to some good getting started sites. Here is one such site.....
http://www.eham.net/newham/
As for kits, there are a few available, one is a china made transceiver which is discussed in this thread
http://www.worldwidedx.com/hf-bands-hf-rigs/33564-chinese-10-watt-high-frequency-kit.html unknown availability. The only other options I'm aware of are from
Elecraft (r)* Hands-On Ham Radio about $1450, not inexpensive.. And Finally if you Google "Softrock Radio" you'll find the most reasonable solution.
Softrock Radios are SDR, or Software Defined Radio, the difference is most modern HF transceivers are able to run stand-alone, no PC needed, the SDR relies upon the computer. The Softrocks originally were just single band recievers, then mulitband, and now transceivers are available. I don't have specific links, you'll have to get them from Google.
These SDRs are fairly inexpensive, under 20 bucks for a single band RX, here is a link to a SoftRock based tranciever,
- Softrock 6.3 Project - An all band HF Transceiver, using the Softrock RXTX v6.3 kit as a basis (Loftur E. Jónasson - TF3LJ)
It may take some searching, but there are many resources, Yahoo Groups, etc....