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
Under $40 dollar Shotgun Microphone EG1
Just by using a microphone away from the camera and closer to your subject things generally will sound much better. In that case almost any microphone should suffice to getting decent audio. The most popular microphones used by DSLR shooters are the Rode VideoMic and the Senheisser MKE-400.
The Senheisser MKE-400, priced at $199, is said to have slightly less audio quality than the Rode VideoMic, but is favored for it's tiny tiny compact size (unlike the Rode). If you're taking size into consideration, I've had my eye on this particular shotgun microphone from China that runs less than $40 dollars. It can go by the name EG1 or EC-330 and I've been waiting for someone to throw up some type of review or audio test to see if it's even worth the penny. After posting the article on the larger $35 dollar China Shotgun Microphone, one comment comes in reminding me about it. Yup, still not much information out there, but it does look like a good alternative if you want the compact size of the MKE-400, without having to spend the $199. Here's the link to find the cheap eBay EG1 shotgun microphone, so if anybody has any more information, please drop a line. If lack of information drags on further, I may have to purchase one to kill the curiousness.