Yupp. HDSLRs are not video cameras, so they are not meant to have good audio.
I dont know exactly what the audio they record are because I dont use the audio, but Im willing to bet its 10 or 8? Its definitely not 16 bit, which is the lowest thats "acceptable."
Its even worse if you use something like a 7d or one of the other canons without the ML hack and cant monitor audio levels.
Really recommend an external recorder. I got my Tascam D-1 for really cheap and some people prefer it over the Zoom (practically the same thing).
You can get 24 bit audio with it and you will not regret it. Although, most people can not tell the difference between 16 bit and 24 bit audio, so if you have a cam with XLR like an AF100 or FS100 or something else then you can get away with recording to the camera since most are 16 bit.
Rode NTG 2 is a good shotgun mic. Not recommended for indoor use though.
Actually Rode NTG 2 is an awesome mic and I love mine, but I dont use it inside (most of the time).