Jazz Ad beat me to it.
If you are set on using a real megaphone live (for looks or because they're cheaper), get a toy or very small one online. Radio Shack actually is not the best place; the ones they sell are not so bad and really designed for outdoor use (rallies, etc) and are too loud (and unnecessarily expensive) for just going into a microphone. I have one from Radio Shack that was $150 or so, the smallest they had, and if I recall correctly it uses 6 or 8 size-C batteries, or some such. Try Toys "R" Us or the internet instead.
$50 from Target:
[Invalid or Expired Link Removed]
Here's one for $13:
http://www.asseenontvguys.com/index.asp?PageAction=VIEWPROD&ProdID=337
Also be careful about ordinances. In some places it is illegal to use a megaphone without a parade permit and you can get ticketed for it (seriously), even if it is part of your show. In other words, don't drive up & down the streets of the town where you're performing, in between soundcheck and doors, announcing your show to pedestrians, LOL.