When entering the world of video, there are a lot of things to consider. And when one question is answered, many more seem to emerge. The topic is not generally one that laymen know a lot about; it's not a hobby many pick up simply because they find it interesting. But the research in the audio industry is vast, and you'll quickly find that there is a lot to be interested in when considering the world of audio. Or maybe you won't. But you still need to choose a microphone for your DSLR, and fortunately, there are plenty of people who are very interested in the various microphone options to help you out.
As a point of reference, consider watching the video by sound expert Guy Cochran of dvestore.com. Cochran explains and demonstrates the characteristics of five different types of microphones: shotgun, hypercardioid, lavalier (or lav, or lapel), broadcast and handheld dynamic. These microphones can be purchased at dvestore.com or at Amazon. Links for the mics he reviewed, or similar to the ones he reviewed, are available below.
If you don't feel ready to become an expert in audio just yet, or don't have the money to, you can buy the incredibly popular DSLR mics from Rode or Sennheiser. They mount to the cold shoe on the top of your camera, connect to a Zoom H1 (or directly to your camera, if you must) and are a significant improvement on your camera's built-in mic. If you are looking for other options, they exist:
Rode Shotgun: Great for isolating sound within a narrow range
Rode and Audio Technica make excellent shotgun microphones, which aren't great for indoor use (especially where there are low ceilings or the room is highly reflective), but excellent for isolating audio outdoors. (See RODE NTG-2 and Audio Technica ATR875r)
Audio-Technica Hypercardiod: Isolate a sound source even better than shotgun mics.
Hypercardioid mics are similar to shotgun mics but differences in pickup patterns render them more useful indoors; where shotgun mics may produce a hollow sound indoors, hypercardioids will produce a much more natural sound. It also allows for slightly better isolation of dialog.(See Audio Technica AT4053b )
Sennheiser Wireless Lavalier: More expensive than wired, but more convenient.
Lavalier mics are the way to go when interviewing. Often, a shotgun or hypercardiod is used in addition to lav mics in interviews so the best sound can be chosen in post production, but generally the best sound will come from lavs. Wireless systems tend to be more pricey, but for many, the convenience justifies the expense. Wired lav mics are durable, high quality and inexpensive. (See Sennheiser Wireless Lav and Audio Technica ATR-3350 Wired Lav)
Da Cappo DA12 headworn
De Capo Headworn: Headworn mics provide talent the most freedom for movement
Headworn microphones are excellent if you don't mind the obvious presence of a microphone on the talent. They allow the talent to move around; though lav mics also allow the talent to walk around, the microphone may brush against the talent's clothing, producing loud, unusable sound. (See Da Cappo) (UPDATE: This microphone is no longer available. Another highly rated headworn microphone to consider is the Samson Concert 77 UHF TD Headset Wireless Microphone System.)
Rode Procaster Broadcast: Broadcast microphones are great for recording in a sound booth
If you don't mind a large mic in the picture (think late-night television or behind the scenes audio recording), then broadcast mics are the way to go if you have the budget. They are excellent for isolating sound, as you need to be very close to the mic for it to pick up your voice. (See RODE Procaster)
Sennheiser Handheld: Handheld mics are inexpensive, yet useful
Cheap, expendible and useful, handheld dynamic mics are also great for interviews if you don't mind the minor distraction. (See Sennheiser E835)
There is a lot to learn in audio if you are willing; this article serves as a starting point. If you want to learn more about the differences between shotgun mics and hypercardiods, check out the dvxuser thread on the topic. If you're not convinced you need to worry about audio, check out my Clearing Up The Noise article describing the shorfalls of DSLR audio. For much more information on microphones, patterns, connections, pop filters and more, Wikipedia is an excellent resource.