It wasn't inexpensive but I bought a Standard Horizon HX460S mini handheld, $249. There is a newer model of this one now that is also capable of FRS (Family Radio Service) so you can communicate on shore with the inexpensive walkie-talkies good that are good for a couple of miles range. I like this HX460S radio a lot though I haven't used it very much.

Whatever you buy make sure it's capable of JIS-7 standard (immersion in 1 meter of water for 30 min.) There are some radios listed as "submersible" but don't mention being capable of meeting the JIS-7 standard. I suppose that's why they're cheaper but if I'm in the water and I need to summon serious help, I don't want to wonder if the radio is truly submersible, so I blew the bucks on the upper end model for some peace of mind. The West Marine catalog has one page dedicated to some buying/selection tips that is a good education before deciding what to buy.

One feature that I think would be comforting in an emergency is a radio that can also substitute standard AA batteries when the rechargeable runs out of juice.

The decision about what to buy comes down to deciding how much of your paranoia you want to pacify. If you always sail close to shore on a popular lake you would not need all the radio that you might need if you occasionally ventured out along the Gulf Coast on your own. Fit the equipment to your kind of sailing and buy for a worse case scenario.

After you buy the radio make sure you make and take a "cheat sheet" of the channels to be remembered stashed on the boat or your PFD until the proper use for the proper channels is burned into your brain. I laminated a small channels chart with some plastic from Office Depot. The clear plastic sheets are sticky on one side. You sandwich the paper in between. It works great for small sections of a chart, too. I copied a chart, cut out the areas I needed, and made a flip chart for the Around The Island Race in Ft. Walton.