Before you say goodbye to your money and hi to your new macro lens, it's your own responsibility to make sure that you really like macro. I am telling you this only because I've seen too many people who bought a macro lens but sold it a couple of months later.
It's a good idea to try out macro before you really purchase a true macro lens. Here are a few reasonably affordable ways to try out macro:
1. close-up filter
Raynox DCR250 comes to mind. It has a +8 diopter and when coupled to a 50mm, will give you approximately 0.4X. If you have a tele lens like 50-200, it's even better. Just snap a DCR250 onto it and you'll get approximately 1.6X magnification at the 200mm end. DCR250 costs about RM250 and works on any lens with filter size from 52mm to 67mm.
2. Extension tubes
ET will cost you slightly more than the DCR250 but if gives you higher magnification esp on shorter lens like the 50mm. For example, a full set of 68mm ETs on a 50mm will give you approx 1.4X magnification. It won't work so well on longer lenses though. There are generally two types of ETs....those with electronic contacts and those without. The non electronic contact type is much cheaper, of course.
Your working distance will be reduced when using the ET. More about Extension Tubes here.
3. Tele converter
Normally comes in 1.4X and 2X. 2X is not recommended as the IQ will deteriorate too much. Only Nikon has a 1.7X TC with great IQ as well. Soligor has a 1.7X TC (for Nikon, Canon etc) as well but I haven't seen any reviews on the internet yet. If you come across any review, do let me know.
TC will give you longer working distance.
4. Reversing the lens
You'll need a reversing ring to do this. You can reverse either prime lens or kit lens:
1. reversed 50mm - gives you 1:1, you can't increase nor decrease the magnification. It's all fixed.
2. reversed kit lens, 18-55mm, you'll get from around 1X to 3X.
3. reversed wide, prime lens, like the 20mm, or 28. You'll get like 4X to 8x depending on which prime lens you use and the length of tubes you used.
No ETTL, AF when you are using reversing ring, unless you are using the fancy type like the Novoflex EOS Retro or DMF Supermacro. More about these here.
Once you are really sure that you still want a macro lens, then consider these options:
True Macro Lens
1. 50 mm to 70mm range
These are lighter and give you shorter working distance. May not be good for approaching skittish bugs but the shorter working distance gives you good apparent light size, and thus better light in general if you are doing full flash photography.
Example: Canon EF-S 60mm f/2.8 Macro USM Digital SLR Lens for EOS Digital SLR Cameras
Tamron AF 60mm f/2.0 SP DI II LD IF 1:1 Macro Lens for Canon Digital SLR Cameras
2. 90 to 105mm range
Slightly longer working distance and only slightly heavier.
The lenses with shorter focal lengths in (1) and (2) above are lighter and easier to handle and highly recommended for beginners.
Canon EF 100mm f/2.8L IS USM 1-to-1 Macro Lens for Canon Digital SLR Cameras
Tamron AF 90mm f/2.8 Di SP A/M 1:1 Macro Lens for Canon Digital SLR Cameras
3. 150 to 200mm range.
These might be a bit heavy for a beginner. The longer focal length gives you great bokeh becuase it's able to isolate the background better. However, the longer working distance also means smaller apparent light size and as a result, the quality of light may not be so great for full flash photography. But it's great for natural light and fill flash photography and the longer working distance also means you'll have higher chances of capturing those skittish bugs.
Sigma 150mm f/2.8 EX DG HSM APO HSM IF Macro Lens for Nikon SLR Cameras
Canon EF 180mm f3.5L Macro USM AutoFocus Telephoto Lens for Canon SLR Cameras
Bear in mind that these lenses allow you to achieve a maximum magnification of 1:1 (life size). For example, if you shoot a 22mm object with a 40D at 1:1, it should fill up the width of the frame. You can also focus to infinity with these macro lenses.
An odd one out here would be the one and only Canon MP-E65 1X to 5X macro lens. It's macro lens and ONLY for macro only? What does it mean? It means you the MINIMUM magnification is 1X - you can't go any smaller than that. The maximum working distance is 4 inches and it won't focus beyond that!
Canon MP-E 65mm f/2.8 1-5X Macro Lens for Canon SLR Cameras
What's the implication of this? Well, if you use an MP-E65 mm with a 40D body with 1.6X crop sensor (22mm sensor width), at 1:1 (the minimum magnification), you won't be able to shoot anything bigger than 22mm. If real life, it's more like 15mm as you need a bit of space for framing and composition. Plus, the bug you shoot might have long antennae and things like that! If you use the MP-E65 with a FF (Full Frame) body such as the 5D/5D Mark II, you'll be able to shoot bigger bugs/subjects. The 35mm sensor width means you'll be able to fit a 35mm bugs into the frame in theory. In real life, probably 30mm?
Don't believe anything you read on certain lenses give you better DOF (Depth of Field) because it's BS. DOF in macro range doesn't depend on focal length.
DOF = 2 N c x [ (m+1)/m^2]
N - f number, c - circle of confusion, = 0.018mm for aps-c, m - magnification