Is there a small shotgun mic that I can directly replace the stock mic on my XL2 for?

You could stick most any shotgun in the mount and plug it into the XLRs in the back. I've stuck my Sennheiser MKH60 and my ME66 in the mount more than a few times and shot just like that. I did stick some foam padding in the mount to hold the mic tightly. Works fine. They do make shock mounts that clip onto your camera to dampen the handling noise. I would suggest one if you are doing critical audio recording.

Oh, and remember, your stock mic is stereo, and shotguns are mono. So it wouldn't technically 'replace' your stock mic. Just a note.

Audio Tehcnica offers several models at a somewhat lower price point than the Sennheiser, and below that are several Azdens and others. Probably best to avoid the under $150 models, and be sure it has an output impedance of around 600 ohms or lower, otherwise you may have significant output loss due to impedance missmatch.

How is the ME66 powered?

with the K6P module you can use both phantom and 1 AA. I have used both with no diffrence in audio quality or camera runtime (not a noticeable tax).