How loud is loud and where will your microphone be placed?

If you're going to be up close then a dynamic microphone is your best bet, such as the MD421 from Sennheiser. The added advantage of dynamic microphones is that they don't need a power supply.

A better bet is to move a bit further away and use a cardiod condenser microphone. Top of the range is the Sennheiser MKH40 and the "lowest" you should consider (price-wise) is the Audio Technica ATM33a. Sennheiser and Schoeps are the dog's dangly bits when it comes to microphones, but tend to cost a fair whack. The Audio Technica series of microphones is very good value for money and still good quality. Stay well clear of "Hama" or "Vivanco" type microphones. Basically, if you can buy it in Comet or Dixons... it's crap.

If you're stuck a long way from the sound source than a shotgun (or short-gun) microphone is probably the only answer. Bear in mind with a shot/short-gun mic that it doesn't reject all sounds from the side, so if you've got screaming people close around you it might distort (rather than eliminate) the sound of the crowd.