Cathe usually wears Ryka shoes in her DVDs. Ryka makes women's athletic shoes almost exclusively so they're generally good shoes, but remember that everyone's feet have different needs and that what works for one person might not work for you. Try to go to an athletic shoe specialty store and see if you can get fitted. Just make sure that you get cross trainers, not just running shoes! They seem to be harder and harder to find these days, but a good cross trainer provides lateral support and a nice wide toe box to help with all of that side-to-side and turning that Cathe does. Running shoes mostly just provide front and back support since they only expect your feet to be moving forward.
I read up on popular cross trainers online, then went and tried on a few in the stores. I've worn Rykas for years, but I currently have Asics Gel Intensity which work great for my high arches and have a lot of good cushioning to help with really high impact. Again, your mileage may vary.