The best microphones aren't goung to be inexpensive. The best type of mic for an interview is a wireless Lavalier system. Of course you can always use a good shotgun mic - that means any long barreled mic. You want a good condenser (externally powered) mic with a ?lobar? pick up pattern to put on your boom pole.

The main brands for both lavalier and shotgun mics are Sennheiser (the best and can be expensive), Audio-Technica and Azden. And yes, you need head phones.

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The aim of an argument or discussion should not be victory, but progress.
Joseph Joubert, essayist (1754-1824)

i've never used lavalier's before but i'd go with a them simply because i have seen them used injust about every intereview i've seen (minus "man on the street" interviews) and yes you should probably have headphones. Try to find ones that cover your entire ear (i.e. not ipod headphones) so it knocks out all the sound around you.

"Anyone who has ever been privileged to direct a film also knows that, although it can be like trying to write 'War and Peace' in a bumper car in an amusement park, when you finally get it right, there are not many joys in life that can equal the feeling." - Stanley Kubrick