There are quite a few models which work through USB through either the dock connector, or any USB mic or input device using the Camera Kit's USB adapter. Blue has a few models and are well thought of, but check around.
Edit: I wasn't sure of this, so I just tested it. The headphone jack will take the same level mic input as the iPhone. I have a small mic I bought from ThinkGeek; just plugged it in and it works fine (I forget what it's called, but it swivels, is directional, and is about the size of the end of a little finger.)