Which Wireless Shield Should I Buy?
I like the one that Sparkfun sells, which allows you to switch between a SoftwareSerial port and the HardwareSerial port to talk to the XBee. None of them are perfect, though, in that those that do allow using other than the hardware serial port only allow you to use pins 2 and 3, which are the external interrupt pins and which don't work as a software serial port on the Mega.
What is the best XBee to buy as well?
Without knowing how many you want to use, for sending what kind of data, how fast, how far, and how reliably, the only answer possible is "No, not that one, the other one!".