I use to do a lot of macro stuff with my Olympus OM2n, 50 mm macro lens and bellows. This gave up to about .. 10:1 - ie 10x magnification. A match head would fill the screen. For lighting I used a T20 flash with a diffuser - a piece of white tissue taped over the flash. Exposure was automatic and it was great.
Now I have a Canon 40D with a 50 mm 1.4 (not macro) and a 25 mm extension tube and this gives me about 1:1.
The lens that you need depends a lot on what magification you want and what lens to subject distance you want. Basically the longer the focal length, then the further away you can be for the same magnification. If the subject is still - a flower or something, then a 28 or 50 mm will do, but if it's a bug that will fly away if you ge too close, then a 100 or 200 is better.
A few people have told me that the Sigma 105 mm is a very good macro.
As for extension tubes or bellows, bellows are far more flexible (literally) and give a range of magnifications with a lens, while an extension tube will give a fixed mag with a lens, but is easier to use and handle. Otherwise, for the same extension (a 25 mm tube vs bellows at 25 mm with the same lens) then no difference regarding quality.
If you want a lot of fun, try one of these...
http://www.aunet.com.au/dinolite.htm
I don't have one, but have seen them used. The resolution is nowhere as good as a 40D with good lens and tube or whatever, but it is still very good and very easy to use and shows you 'live' on the screen.