[Al Skierkiewicz]

Wally,
It is legal to listen. Ramsey actually makes some great kits and they are a quality provider. Listening to ATC conversations is a great way to get comfortable with those communications and how aircraft are handled. Each airport has frequencies listed in the pilot handbooks so they know where to switch their radios when landing, taxiing and taking off. ATC are on other frequencies which are "handed off" during flight as the plane crosses the country. As Z mentioned above, ham radio is a great hobby and is easy to get into.
As a general rule, you can transmit on relatively few frequencies without a license and then mostly at low power. Any frequency that is in use for public safety is strictly verbotten to transmit if you are not licensed to operate there and you may not interfere with any licensed activity even if the emissions are unintentional (such as coming from a receiver).