Coach, the only time I use a DI box is when I'm runnning pedals into the PA. If you're running them into an amp then it shouldn't really be necessary. However they can be a really useful tool to have.
Your choices are either an "active" i.e. powered one, or a cheaper "passive" one. I use a cheap ART passive DI box- this one:http://www.artproaudio.com/products.asp ... =13&id=104
I could have gone for an active one, but there's less to go wrong with it. No batteries or phantom power! I don't feel the need for a really expensive one for my level of playing, and I'm using it on stage, not in a studio. They can be had for about $25:http://www.parts-express.com/pe/showdet ... er=245-874