The Canon HDV 1080i has two (2) XLR audio inputs and, according to the literature, an option for two (2) more XLR audio inputs.
There have been lots of discussions about mics so try the search function.
To hit the high points...
Shotgun mics:
Popular professional mics
Schoeps CMIT5U - $2,200
Sennheiser MKH-416 - $1,200
Popular intermediate mics
Rode NTG-3 - $700
Sanken CS1 - $850
Sennheiser ME66/K6 - $400 (Not that popular since digital recording but was huge when audio was recorded to analog tape)
Popular budget mics
Audio-Technica AT897 - $240
Audio-Technica AT875 - $200
Rode NTG-2 - $270
For a few more $$$ most of them are available with the basic necessities - a shockmount, softie and boompole.
Cardioid Condensers:
Popular professional mics
Sennheiser MKH 30 - $1,250
Sennheiser MKH 40 - $1,200
Sennheiser MKH 50 - $1,200
Popular intermediate mics
Audio-Technica AT4053b - $650
Audio-Technica AT4051b - $600
Popular budget mics
Rode NT55 - $370
Audio-Technica AT4053a - $330
Shotguns are used outdoors, cardioid (preferably hypercardioid) condensers are used indoors. We'll leave lavs alone for now.
Just as (or more) important is the technique with which the mic is used. Just putting it in the vicinity of the talent is not enough. Correct booming technique will be the difference between a good recording and garbage. Many will tell you that you can use a shotgun indoors, and they are completely correct; but you'd better have awesome technique and a properly prepared set or you will get that "roomy" "echoey" sound.
The reasons that professional production sound mixers and boom-ops (and the occasional audio wrangler) get paid so well is that they have perfected the techniques and know how to select the proper mic for the given situation. Most of these folks are steady working teams that own their own equipment, often costing tens of thousands; they are quite often responsible for set comms as well.
Heres' what a pro sound cart looks like:
So figure out your budget. You may want to add a mixer as well...
The audio on your clip sounds like a mic mounted on the camera or a shotgun used indoors at some distance from the talent.
You may want to check out my blogs on production sound here at IndieTalk.