I'm with Dr Nick - the Nikon Creative Lighting System is incredibly versatile and the R1 Close-up kit is excellent for macro (and great for other types of photography too). I took the plunge and bought a third SB-R200 so my kit looks like this...
In that picture the top light is un-diffused and the other two are diffused as that's how I normally use the kit. The flashes are controlled by the pop-up flash on my D300 but I also have an SB800 flash which can be used as a commander too. Both options allow each of the three flashes to have their power levels set independently.
The SB-R200s don't need to be lens mounted - for really tiny subjects when I'm using extension tubes I will often place the subject on a table with flashes either side of it and just an inch or so away from it.
You can also use them to light the background independently as in this set up which I used for photographing tadpoles...
The tank is lit from above by the SB800 and two SB-R200s are lighting the ivy behind it. The result looks like this...
As Roger and Graham have said, a standard flash gun can be just as effective especially when it's off camera. I sometimes use my SB800 on a flash bracket...
...but once again I'm using the camera's pop-up flash to wirelessly fire the SB800.
Incidentally, although the camera is mounted on a tripod in these photos I almost never use a tripod for insect shots. I'm normally using 1/200th of a second so there's no need.
Dave P.