You can do better than the Sony, which is bulky, has a limited frequency response (i.e., not much bass) and is pretty noisy. It's cute and widely available but mail order gives you a big quality improvement.
If you can jack up the budget just slightly, and are willing to wait a few weeks, Church Audio's mics are a step up. I would be very curious to hear some recordings made with his new, improved CA-11.
Actually, looking at Chris' current prices--look no further and grab the CA-14 omni for $99...
http://taperssection.com/index.php?topic=162852.0Unless the Church Audio are on sale, the best mic under $100 in my experience is the SoundPro BMC-2, a pair of omni mics the size of pencil erasers.
http://www.soundprofessionals.com/cgi-bin/gold/item/SP-BMC-2Get them with clips, clip them to your shirt collar--which gives you a realistic stereo field because your shirt collar puts them about as wide apart as your ears--and you'll have very good recordings. Black clips, black mics, dark shirt--pretty stealthy. Also, get the extended warranty if you are going to be recording a lot: the wires are thin (for stealth) and if you're recording 3-4 times as week, as I do, they will wear out shortly before the three years are up, and you'll get a new pair that will give you another 3 years. Nice deal.
If you are going to loud shows, you may need a battery box to make the mics able to handle louder input--then you'd go mics-->battery box-->Line-in instead of Mic-in.
I have the SPSB-10
http://www.soundprofessionals.com/cgi-bin/gold/category/310/mics but would be tempted by the SPSB-4 if it weren't a little too big for the camera pouch I put my recorder (Sony PCM-M10) in.
Try the mics first without a BB--it depends on how loud an input the Zoom can handle, something I don't know. The Church Audio mics are a little bigger than the SoundPro mics--like the tip of your thumb--but they can handle a louder show without a battery box.
I have CA-14 omnis now as my go-to mic, but I made hundreds of enjoyable recordings with the SP-BMC-2.
And by the way, where you put the mic when recording is really important. If you clip it to your shirt pocket, sound is being blocked by the back of that big dude standing in front of you. Mics sound best out in open air--either close to your ears, where they're hearing what you year, or even higher.
Next time you go to a show, duck down a little to the height of your shirt pocket, and you'll hear how much more muffled the sound gets, even with that slight change.