So I found what appears to be a decent spy cam disguised as a pen for what appears to be a good price (http://www.nomorerack.com/?cr=8051984) but before I shell out any money I was wondering if it's even worth the investment... I've yet to even see a listing for a video shop. Are they all that common?

Adam,
Please do a search both here and on the volition forums and on the VSN (Video Shopper Network) forum, for video and video equipment. You will find many discussions about the "payback" for investments in training and equipment. Also, that most video pens will NOT meet the video and audio standards required by the clients and MSCs. Those that do, may still not be acceptable because of problems of maintaining aim and framing of the subject during 65% to 85% of the time of an interaction that may run from 30 to 120 minutes.

I agree with walesmaven. There are tons of posts that will give you more information than you can digest. For the rest of my reponse, please know that this is all in my own perspective to my market and personal experience. With that said, I give a big "YES! IT IS WORTH IT!!" to invest in your own video equipment. My first piece of advice is to contact the "Big 7" video shopping companies to see what video equipment they will accept. If you get the same answer I did, the PV500-lite (which I have no affiliation with in any manner) will be the most recommended device. That is not say that others will not be recommended, I am just going on my own research. The expense of the equipment is a write-off for you on taxes, so that is the first plus if you do video shops. I was also a bit on the fence when I took the plunge to buy my equipment. I just made the vow to do enough video shops to pay back the price I paid for the device. I have done that three times over in just two months. I have schedulers contacting me weekly to ask about my interest in doing video shops in my area and beyond. To keep in perspective, I may very well be in a "hot" area for video shops and that may fade. Either way, my equipment is paid for and I LOVE, LOVE, LOVE video shopping. The pay is often triple what I am offered for other shops, and there is essentially no report after uploading the video. "Easy-peasy" as we say in the south.
Just make sure you have training either through the upcoming web training with Undercover Essentials or through a video shopping company that will offer their own training before you get out of the gate with video shopping.

Adam,
I thought the same as you did at first: I wanted the bigger pay that video mystery shops provide, but I didn't want to pay a lot up front for equipment. I did a lot of research and found that like the other guys pointed out, pen cams more often than not will NOT meet the guidelines for most MSC's or their clients. Wireless cams might seem more popular, yet there might be problems with reception in certain areas due to interference of the signal or possibly even range. I bought a Lawmate PV 500 LITE with button cam, and within two shops made more than enough to cover my costs for it. Lawmate is a brand favored by law enforcement and private investigators. Contact some people working in the field; these are experts at surveilance and they can give you valuable insight. I know it helped me immensely.
If you use a button camera, you'll learn that loose shirts work great. Buy a few of them, and also buy buttons that match the button that covers the camera. I crazy glued a small piece of velcro tape on the back side of the camera, and when I put on a shirt I tape a strip of velcro tape behind that to hold it in place, and another piece of velcro tape gets taped to my under shirt to provide a secure hold that won't move. Practice can make more than just a perfect video shop; knowing your camera is pointed in the right direction and you know what to do with it, practice can help make it very natural for you.
After I did enough shops to make a profit beyond covering my expenses and a little more, I also bought a tie camera that matched up with my current equipment. Now I can dress casual or professionally; it doesn't matter, because I can still get the video the client needs.
The bottom line here is that it's worth the investment to get better equipment. Do it, and then go out and make yourself some good money. And have fun while you're at it, too!