They also have a new V4 version, but it requires updated drivers that will take a bit of time to percolate out to Linux distributions and the like.

NooElec also has a line of RTL-SDR dongles that I would recommend: https://www.nooelec.com/store/sdr/sdr-receivers.html

The best antenna will depend on what you're trying to receive. Different antennas are optimized for different frequency ranges, and may be either omnidirectional (receiving equally well from many directions) or favour reception in one particular direction. To get started, you could buy a dongle that comes with an antenna included, but you may eventually want to switch to something targeted to the particular application you have in mind.

As for the computational cost, it depends a lot on what you're trying to do. As a general rule, the wider the bandwidth of the signal, the more processing power it will take to demodulate. HD Radio is relatively narrow-band (400 kHz), so it doesn't require much CPU power to receive it.