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There are afew very good tips an tricks sessions available out this very question in the http://www.videomaker.com/vidcast/157/section. Some give well done demonstrations on the types of mics and kinds of performance expected. Episodes 113, 116 trough 121 cover the major types. Episode 73 talks about different types as well. Once you decide the type of mic you will be using shop for the best price/performance your budget allows.
Keep in mind sound is over 50% of the movie experience. Sound can make up for a lot of video issues.