Tony Carretti shares a find on a very inexpensive EM-320E shotgun condenser microphone for less than $20 dollars and claims he's getting better results than from his other Rode VideoMic on longer cable runs with XLR. [Thanks Tony]. Getting your microphone as close to the subject is key. In most cases any microphone is better than the built in microphone of the camera. It's also self powered so maybe it provides a bit of clean gain over the noisy internal amp of the DSLR.
[Update] Tony also shares another test along with the Zoom H4n as reference.
The EM-320E, comes with a Black windscreen, 20' XLR to 1/4" mic cable, and a 1/4" to 3.5mm adapter. If you don't have any microphone, Tony seems to think it's worth the bang for the buck, and you can find them on eBay (click here).
EM-320E Shotgun Microphone