This is my friend, Steb1's Macro Rig. He uses a small flash which is mounted onto a Cokin P type square filter holder and square filter lens hood. Steb1 is also the one who started the concave diffuser!
In his own words:
A side view of the set-up. It shows a foam concave diffuser with the end folded up, and the flash has additional elastic bands to hold it secure.
It is only a cheap Polaroid PL108AF flash (a Metz 24 AF-1 clone). It attaches to a Cokin P type square filter holder, but with the square modular hood (Square filters lens hood) in the reverse position. The flash is attached via self-adhesive hook and loop pads. This hold the flash on at any angle. However it is possible to hold it much firmer with a simple elastic band attachment. Remember the square filter holders rotate under friction like a macro flash head. So you can always keep the flash above the subject. Trying it out a f11 1:1 at ISO 100, and the flash recycles almost instantly. It is a double layer of vellum paper with this end of lens concave diffuser.
The board is to fit the Cokin P type filter holder and the other piece is the base of my modular diffuser. The diffuser is formed around this and held on with self-adhesive hook and look tape. This allows me to use different lengths/shapes of diffuser material. I can also add small reflectors to fill in parts of the image not getting enough light.
This show the diffuser before it is formed around the base. The base is fixed to the board which fits into the slots on the square filter holder.
The doubled elastic bands are held together with a split curtain ring. The flash is attached by velcro and won't fall off, but this just holds it more securely.
Note: you can use other light weight flash such as the 270EX, 270EX II, SB400 etc too!
Now for some sample images:
More macro rigs here.