Many microphones are horrible and pick up all the wrong sounds. That's why I'll only be going into the two best types. Shotgun microphones and Lapel Radio Microphones.
Shotgun Microphone
Shotgun Microphones pick up sound more in one direction. They can pick up side sounds but less than an ordinary microphone. They are probably the most useful however for filming. Attaching them to a boom pole allows you to get close and record your actors with little other sound, giving great sound quality and clarity. They range from around $250 to $1000 for a high quality microphone. For a good filmmaker, this would be a good choice.
Lapel Radio Microphones
The alternative is the Lapel Radio Microphone. They are useful when filming people talking at a distance, like walking on a road. However actors have to be careful not to rustle their clothes too much or the microphones will pick up the noise. These however are a great alternative to the Shotgun microphone, with their price ranging from $250 to $700.