I have a Canon EOS400-D and am a little disappointed with the built in flash as I get a lot of shadows due to its limited range. I'm about to buy a BG-E3 pack and would like a decent flash gun. I'm swaying between ...
You're getting the shadow not because of its limited range but because of its position!
The idea of getting a more powerful external flash is to bounce it off some larger surface which you couldn't do with a weaker unit like the built-in flash. Bouncing the flash diffuses the shadow as the light now come from a larger area and it also re-orients the shadow (usually downward) so the camera won't detect the shadow; However, bouncing also robs away output power from the flash unlike a direct pulse, so the more power the merrier... (i.e. higher or darker ceiling etc)
-> The model number designator on each flash tell you how much power each is putting out according to its G
umber (GN) in meter:
GN = distance x aperture
In this case
Canon 430EX Speedlite - GN is 43
Sigma EF530 ST DG EO-TTL - Gn is 53 <- almost the power of an 550EX for the cost of a 430EX
Sigma EF530 ST DG EO-TTL Super - GN is 53
Jessops 360AFD Digital Flashgun - GN is 36
So for f/4 the max distance on the Canon's is 43/4 = 10.75m (i.e. GN/aperture = distance)
The Sigma is 53/4 = 13.25m and the Jessop is 36/4 = 9m
Professional people also tend to use multiple flashes to cancel each other shadow out so it' really depend on what your budget is and how flexible you want your flash to be...