There aren't as many stations as there used to be. The rise of the Internet and the world recession shut a lot of them down. In the US you can still hear broadcasts from Europe, Africa, South America, the Middle East, the Orient, Australia, and even Antarctica on a good day.
Try attaching a wire antenna to your radio. Any long piece of wire will do, and just wrapping it around the radio's telescoping antenna often works. Get the wire outside the house if you can. Maybe drape it over a tree branch and tie the other end of it to some kind of weight. Just take it down when you're not using it and if there's a thunderstorm coming towards you. An external antenna like that helps your reception, and many of the radio stations are very faint.
Then find some frequency lists online. They will help you figure out what stations you've found, and when a station you found interesting will be on again. A station might be on the air, on a particular frequency, for 30 minutes to several hours. The lists help you know when and where to tune in order to hear the station on another day. The broadcasters tend to change their schedules a lot, so download a new frequency list every week or so. The people who compile the lists update them frequently.
You can also try the program Shortwavelog. It can import a bunch of different frequency lists you find online, and then it sorts through the list to show just what's on the air now, just what's in English, et cetera. It's a buggy program, but useful when it works.
There are also a lot of data modes broadcast on shortwave, things like faxes of weather maps and satellite images, position reports from airplanes and ships, text from amateur radio broadcasters (Hams,) and encrypted military transmissions. Quite a lot of stuff once you get into the hobby.
If you decide to try some fancier radio than the one you have now, the consumer reviews at eHam give you a good feel for what radios are worry free, which are problematic, and which are complete junk.