It's gotten to the point that having a decent scanner in the toolbox is as basic a requirement as a set of wrenches. When the DD threw a CEL a few years back I did some research before buying a scanner. I wanted something with decent diagnostic capabilities, which rules out the basic HF scanners.
The two the ended up in my search were the AutoXray 4000 handheld and the AutoEnginuity software. Both offer freeze frame data capabilities which record what was happening when the code went off, as well as live data monitoring. The AutoEnginuity offers the ability to look at multiple data streams simultaneously, and the AX does not. I went with the AutoXray because it was self contained and I did not have a lap top at the time to trot out to the shop with. Both were right in the $200 range.
There are hyper expensive Snap-On style solutions out there that have all sorts of neato functionality (usually OEM specific), but even used on CL they go for thousands of dollars.