As most macrographers know, if you shoot a scene where there's no immediate background, it'll turn out dark or pitch black in the shot. I am talking about full flash photography here, not fill flash or natural lighting, of course.
All images were shot with a Canon 40D, MP-E65 1X-5X macro lens
The shot will look something like this:
a robber fly with prey, a hopper
Black background can be cool, and I do like how the shot turned out. But too much of it and it gets a little boring. So whenever I can, i try to set up the background or change my angle to get some colorful leaves in the near background. I discovered this after a couple of months of shooting with my newly acquired D80 and Tamron SP90 some time in August 2007.
white flower with black background, Aug 2007
As mentioned, i do think black is cool but whenever possible, i try to add colors to my shots whenever circumstances allow and the bugs are cooperative:)

A longhorn beetle with bromeliad at the back to provide a pink bg
A lime butterfly with a Carrefour CNY red/pink envelope as bg
a newly emerged fly (horse fly?) with green leaf as bg
Don't try this as soon as you see a bug though, as most bugs will just fly away as soon as you try to set up a bg. Just shoot it as it is first. Once you're sure you've got a few good shots, then you can try whatever you want. Good luck!
All macro images shot with a 40D, Canon MP-E65 1X-5X Macro Lens and Canon MT-24EX Twin Flash