I have two.
Number one has to be my trusty Fuji finepix S7000, a brilliant pro-sumer SLR sytle compact that has a macro capability that easily out matches most dedicated macro lenses below £400, it now goes everywhere with me and I wouldn't part with it
Number two, My Sigma 150mm f2.8 EX DG HSM macro lens, this lens fitted to my EOS 20D has revolutionised my photography, as a macro lens it is second to none,its without doubt the best macro lens currently available and turns out faultless sharp images time after time.
It also doubles as a very fast short range Telephoto, excellent for in-flight work with birds. It may be a bit on the expensive side, buts its worth every last penny.