I use a variety of Sennheiser mics (shotguns, mostly) at school with my DVX100B, and the sound quality is of course much better. More selective. As you know, the DVX onboard mics pick up a fairly wide spread, which is great if all you want is ambience (but even that will be dirty, usually beyond the point of usefulness). Some people like to use a shotgun on one channel, and the onboard mic for the other. Personally, I prefer to plug the shotgun into both XLR ports via a splitter (we call them pigtails). To my ear, the discrepancy in sound quality between a good mic and the onboards is too large to match.
These Sennheiser mics price anywhere from $250 to several thousand dollars. Like everything else, it depends on your budget and the type of sound you want to capture. Although I pay a lot of attention to sound, I am really not a sound guy, so I'm sure someone else can give you more precise guidance in selecting a sound kit.