What's your threat model? Spooks, police or fash?
Any practical bug would likely use at least VHF or higher just to have a practical antenna. One simple method is to just scroll through say 100-6000 MHz in gqrx in say 100 kHz increments. This will take a while of course.
Finding peaks could be automated, then the peaks manually inspected. This won't work with spread spectrum bugs.
Try shopping for bugs and see what bands those work on, what modes they use and so on.
Speaking of SDR. if your local pigs still use FM then you should set up a scanner for that. With GNU Radio you can record all channels to disk simultaneously all the time - hackRF has more than enough bandwidth, and disk is cheap. There is also the option of scanning TETRA, which is used in many European countries and often not encrypted.