Be it said in advance that I am no expert in photography, be it film or digital format.
Some things I do that help are:
Turn off the flash
Use the zoom to help fill the screen, I usually zoom in between 10 and 30 percent of my allowable zoom (I think this is the optical zoom, I dont use the other (digital zoom at all - I may have the terms backwards).
When I try to focus on the fly in a vice, I usually place a sheet of paper right behind the fly (I mean pressed right up against the fly), this allows the camera to focus at the correct distance.
Sometimes I can see in my LCD which part of the fly will be in focus and can move the camera slightly, while holding the shutter switch in the prefocus mode, to make sure I get the parts of interest in the best focus.
Sometimes focusing on the jaws is sufficient to get the right depth of focus, esp. with tiny flies.
Outdoors, I'll try similar stuff, focusing on a leaf or stick that a bug might be sitting on, rather than trying to get the insect itself in focus.
Flash would have just drown these out
Every once in a while I get a nice shot
I'd love to hear from the guys who get those great images how they do it.
I imagine they use a manual focus camera.
I guess being fat and ugly isn't enough for the powder monkey - hes got to be an asshole too. (RvW)