My advice is to go to a running shoe store (as opposed to a store that sells sporting goods and shoes, too, kind of thing), and take in the shoes you're wearing now. The staff at a good store will be able to look at your shoe wear pattern, and watch you walk (or run--some have treadmills), and will be able to recommend a good shoe based on what they see. Expect to pay more, but it's definitely worth it.
I agree with Sheila. Sounda like you have shin splints. I recommend going to a New Balance store. Check out their website. www.newbalance.com - I just bought a pair last weekend (Cross Trainers) but they are highly recommended by my Physical Therapist. Good luck
Plan on spending good money for them and make sure you are doing the proper excersices to cool down your calves. I suffer from shin splints and it can be painful.