Macro is great fun...it's what I try to play around with when taking photos for fun
You actually need to be careful with macro stuff in regards to your aperture and shutter speed - you have an even shallower depth of focus when you are in that close. For example, with my macro lens (Canon 100mm f2.8) a bee has to be pretty much side on to get the whole body in focus on f2.8/f4. Also, because you are so much closer, camera shake shows up more, so you normally have to shoot on a higher shutter speed than you normally use, unless you get the tripod out.
I think the shot below was done on f 4 - you have to be spot on for what you are focussing for at that shallow a range.