For capturing bugs, I find the time of day and ambient temperature play a vital role in my success rate.
I find the best time to go bug-shooting in the summer is early morning, and in the autumn, early evening right before dusk or on cool days in general; the cooler temperatures calm down active bugs quite a bit and give you a chance to get in close. I've been able to easily get within 3 inches of flies, damselflies, dragonflies, and bumblebees on cooler days, but very rarely can I do this on the warmer ones.
I won't actually have owned a proper macro lens until next week; up to now, I've been using my Sigma 70-300 APO DG and a 50mm 1.4 with Kenko tubes. That said, I notice now that I use the Sigma more in the summer (almost 3 feet of working distance, 1:2 magnification) and my 50mm + tubes more in the late summer / fall (about 2 inches or less of working distance, but close to 2:1 magnification).
Other things you can do to avoid scaring away bugs is to keep your camera at eye level and to stay low while creeping; doing so reduces your profile a bit so it takes the bugs a little while longer to notice your approach. I also don't think I've ever made a good bug shot with a lens hood mounted; they seem to increase the profile of your camera to the bugs enough that they will almost always fly away before you can capture them.
If you're a bit crazy like me, spend a few days using the 50mm + tubes or any other very short-range macro setup, and you'll find yourself learning stealth and how to creep up to bugs very quickly 