that AG-MYA30G looks pretty cool - phantom power and all. It seems to have many of the features of the BeachTek DXA-6 I use (they are about the same price). One of the reasons I like the BeachTek is that is mounts to the bottom of my Sony HDR-HC1. Its cousin, the Sony HVR-A1 mounts the XLR adapter on the lens barrel (where the flip-up flash is on my HC1). That, with the mic, would be top and front-heavy - so I am happy with my current set up. My tripod or a cold shoe accessory handle to mount a mic, mounts to the bottom of the BeachTek. (If I use the accessory handle, I can mount the tripod to it...)
One of the main reasons for using balanced - XLR - connections is long cable runs. Balanced cables (XLR) substantially reduce the potential of picking up magnetically or electrically induced noise. If your mic is always stuck to your camera, then you don't need a long cable run. Another reason is splitting out the stereo connector (1/8 inch jack), though I am confident there are much cheaper ways to split that jack out to stereo than an XLR adapter, but you know you won't get phantom power (1/8 inch jacked mics don't do phantom power) and good shotguns with 1/8 inch jacks will likely use a battery.
That said, your camera is a good one. There is no reason for the mic to always be stuck to the camera - so you could end up with long cable runs...
A GOOD shotgun mic - like a Sennheiser - can cost over $1,000... Since I don't know what your definition of "good" is, I can only dance around your budget... Here's what I have in my kit:
NRG Research SA-568 switchable mic
Shure wireless (UHF) lavalier
Shure wireless (UHF) SM-58 handheld (2)
I have used the SA-568 and the Shure lav simultaneously through the DXA-6 filming a short... and if I could have afforded it at the time, I would have gotten the DXA-6vu... The SA-568 can do 1/8 inch self-powered OR phantom powered XLR in "tele" or normal modes.
I have also heard and read good things about the Rode Video mic (the mono and stereo versions) - and their NT4 has made my short list for stereo mics, but I am currently leaning in the direction of the Audio Technica AT-825 (the Shure VP-88 is just too expensive but I have used one and it is a GREAT stereo mic)... The AT-822 is essentially the same mic in a 1/8 inch jack config.
Your advantage is your camera uses a standard cold-shoe accessory mount unlike the stupid Sony propriertary hot shoe I am stuck with...
I just bought a Panasonic AG-DVC30 and know I need an external mic but am wondering if it is really worth buying an XLR adapter considering the panasonic option (AG-MYA30G) runs a cool $230 and it seems even something from a 3rd party would still be at least $150. Couldn't I just put some of that money towards a good shotgun mic that has a 1/8 in plug? It will have to run off batteries but so what? Would I be compromising sound quality? I know most of these adapters give you two inputs but that's not super important to me at this point. Please advise. Any recommendations as far as mics (or cheaper adapters) would be very much appreciated as well.