Know Your Accessory Shoe Size
The simplest option, if your camcorder has an accessory shoe, is to buy the proprietary microphone supplied by the manufacturer of your particular model. In most cases, this will be an improvement on the one built in, but it could also cost a premium over a generic alternative. With Sony consumer camcorders which offer an accessory shoe, Sony is your only option as Sony's shoe is non-standard and won't fit third-party peripherals. However, if your camcorder has a standard accessory shoe and separate microphone input, you can choose from a range of alternatives.
We've had good results from Audio-Technica's ATR25, which is a very cost-effective option at around Â£30 inc VAT. Although this is still a very standard omnidirectional microphone, it is more directional than most camcorder mics and has a better signal response. It comes with the necessary camera-mount adapter, too.
Taking the audio pickup away from the camcorder body helps reduce any background noise from the tape transport (if your camcorder format actually has one!), plus its directionality means you record more of what's onscreen, and less of what's behind the cameraman. For even better results, a little over Â£60 will get you a shotgun mic such as Rode's Video Mic shown below, which only picks up sound coming from the direction in which it is pointed.
To get the most out of any external microphone, your camcorder will also need the ability to adjust sound levels manually. Only the most expensive models offer this facility. Also remember to pack a set of headphones, so you can check the levels are correct - assuming your camcorder has the requisite minijack connection.