Thinking it might be a fun subject to bring up. Seems it's something people are always wanting to try and I find it's never as easy as you think it will be.
It's one of my favorite types of photography but I usually find it quite difficult to get the results I want. I guess it's really no different than regular photography in that you not only need an interesting subject but good light as well, and those two don't seem to go together a lot of the time. Then you have to add in the extremely narrow DOF and problems with keeping the camera steady at such large magnifications.
I started out with extension tubes and while they're cheap and work well I found them to be a pain for the most part. Having a real macro lens is so much nicer, allowing you to focus all the way from 1:1 to infinity and anywhere in between. With tubes I was constantly having to switch lengths as I changed my composition and then had to find the narrow band I was able to focus in; not ideal for moving subjects.
Another thing I've found is that it's very easy to use off camera flash with macro photography and can make it much easier to create nice light. Both the camera and flash will be close together (and close to the subject) so using a cord to the flash is perfectly acceptable. A bare flash head is generally going to be a large light source to whatever little tidbit you're photographing so you'll end up with a soft light as well. Flash works great in low light as well as sunlight to get rid of the harsh shadows of the sun. Since the flash is so close to the subject (less than a foot usually) it easily has enough power to be brighter than the sun at very low power levels, making for long lasting batteries and fast refresh rates.
I hardly used flash at all in the past year but wish that I had, it would have improved a lot of shots I'm not real happy with. Today I had a chance to when I saw a tiny jumping spider crawl out onto my living room window. He was of course very backlit so I grabbed my camera and flash and guessed at f/5.6 for the flash exposure. Was about 2/3 of a stop off but I wanted more DOF and less light in the background so I stopped down to f/16 and adjusted flash output accordingly. I was pleased with the result for spending less than 2 minutes taking the shot, hand holding and manual focusing at 1:1 and having the flash just sitting on the arm of the love seat. A little more persistence could have gotten a real nice shot I think, unfortunately I seem to lack that most of the time.
Anyway, I didn't intend this to start out as a tutorial, more to here other peoples techniques and successes/failures. So let's here them. What's your macro setup? Subjects? Tips?
Here's my spider, cropped pretty heavily from the full frame even though it was 1:1, doubt he was over 1/8" long.

A water strider from a recent AZ trip, they'll be back in Iowa in a few months. This one is full frame:

And one from this summer on the prairie:

The tiny flowers and insects of the prairie are the main reason I couldn't stay out of real photography when I tried this past spring. I tried it with my P&S but was very unsatisfied with the results. I plan to hit it hard this spring/summer, which is what has got me thinking more about macro now.
Alan