|Reception of the frequencies covered by your scanner is mainly "line of sight". That means you usually cannot hear stations that are beyond the horizon. However, during the summer months, you may be able to hear stations in the 30-50 MHz range located several hundred or even thousands of miles away. This is because of summer atmospheric conditions. This type of reception is unpredictable but often very interesting!
A number of other factors can affect reception as well: the strength of the original signal, obstructions (such as large buildings) between you and the source, RFI (radio frequency interference) being generated on or over that frequency, and occasionally even sunspots get into the act! Sunspots run on an (approximate) 11-year cycle, in which the amount of interference waxes and wanes. For more information on this subject, we recommend a website such as the ARRL page on Propagation.
One very useful service for testing reception capabilities is the National Weather Service's continuous weather broadcast. These broadcasts contain weather forecasts and data for the areas around the station, plus bulletins on any threatening weather conditions. These stations use several frequencies; and in most areas of the country, you should be able to receive one of these frequencies.