When I say a flash, I mean something like the Canon 430EX
. A ringlite works too, but they're very expensive and really only work for macro.
demarco, the reason the camera sets your shutter speed so low is because it assumes you're going to be using the flash for fill (which, in most photography, you are). Thus, it tries to get the exposure for the subject right internally, then it meters the background and sets the flash accordingly. Since you want to use the flash as the primary lighting source, you need to either keep the flash in ETTL and use manual mode on the camera body to get the desired shutter speed (shutter speed doesn't matter because the flash pulses at 1/50,000th, so you want the shutter to be as high as possible), or do what I do, which is set everything in manual (flash and camera) and then experiment and go by feel for the exposure. Since you aren't relying on natual light to light up the pictures, you can use the exact same exposure settings in the middle of a sunny day or in the dead of night, and the exposures of both pictures will be relatively close to each other.
I always use manual mode so I can set the shutter to 1/200th and the aperture to f/11-f/14. I usually shoot at ISO 100, but sometimes 200 if the lighting is wierd.
The reason everything gets out of focus when you get close is because the smaller the picture, the less Depth-of-Field there is. It is just a fact of macro. The pictures you see that have everything in focus use a combination of smaller apertures (like f/13 or even beyond) and artful composition.
You can gain DOF by how you compose your shot. If you shoot a bug looking straight at you, chances are a large part of him will be out of focus because only a small part will be inside the DOF plane. However, if you shoot at an angle, more of him will be in your DOF plane, thus more will turn out "focused" in the final picture. You'll learn how to compose pictures better as you practice more.
Again, post some pictures of what you have. It is a lot easier to coach people if we can see their photos. Also, they may not be as bad as you think, and may just need some PP work in photoshop.