Macro is a bit like portraiture, except instead of working with a human models, you work with insects.
In portraiture, you want to get to know your models, help them relax, pose them and bring out the best in them. Same for insects. Okay, you can't really make insects pose if they don't want to, but knowing as much as you can about them help you in finding them, approaching them (without spooking them) and increasing one's appreciation for these amazing insects.
One way of getting to know your insect models is by watching this incredible DVD by BBC, narrated by the great Sir David Attenborough.
Life in the Undergrowth
This is just one of the clips i found on youtube. You can find a few more from the same "Life In The Undergrowth" DVD.
Of course, knowing them well is one thing. Putting them in good light is another thing altogether. Make sure you read up on:
1. Tips on shooting with natural light.
2. Tips on full flash macro photography
3. Flash exposure compensation (FEC) in macro
4. Macro Light diffusion (mainly for the MT24EX but can be adapted to suit the working distance of your lens)