Macro, eh? Well, let's start at the very beginning, and that is by reading this thread:
http://skateboard.com.au/forum/read.cfm?forum=20&thread=51730 which means no one had to go over shit again.
NB: Everything in here will use Canon examples unless otherwise requred as I'm a Canon dude. Don't like it? Tough.
Summary; your options are:
A Macro lens: best image quality, most expensive route. More later
Extension tubes: I think this is what Brock was talking about. It means that you can focus on things closer to the lens than before. This can be taken to stupid extremes, such as with the 17-40 F/4 L with a EF-25 II can have whatever you're shooting touching the lens. Not to be confused with teleconverters, which look similar but are not the same. Macro rings is the ebay name for these.
Close-up lenses: As far as I can tell, a magnifying glass that screws onto your lens. Looks stupid, degrades image quality and not worth buying
'Reversing' your lens: cheapest option. unreliable from what I've heard, takes a lot of practice to get good. But hell, it's free, It's usually done with a 50mm prime at wide open and looks something like this:
http://www.flickr.com/photos/larajade/353212395/ . Pro method requires a telephoto and a 50mm prime and looks like this:
http://www.dpchallenge.com/tutorial.php?TUTORIAL_ID=40So, macro lenses: assuming that we're talking about 1:1 macro (so something appears at the size it is in real life at the same size on the sensor), you have to decide on two things:
-how much can I spend?
-what else will I use it for?
The first one is the most important, as it cutes the field the most easily. The second is harder, but will determine the focal length that you should get (roughly 50mm, 100mm or 150mm are the main groupings).
Since you don't want to spend 2 grand, I can't really recommend the lens I want next as it's $1500 (but I'm going to anyway). Sigma 150mm F/2.8 EX DG HSM MACRO (get a longer name, why don't you?). Fucking sweet stuff. Unfortunately Sigma don't make stuff for the Oly mount though, so you'd need an adapter and would have a manual focus lens :( Another great, cheap ($600) lens that isn't made for oly is the Tamron 90mm F/2.8 Macro, and ditto on the sweetness and such, but also on the :(
For Oly, there's really only the 50mm F/2 Macro. which looks ridiculously sharp, and it'd be around a grand. look here for details:
http://www.slrgear.com/reviews/showproduct.php/product/35/cat/14 and apart from that there's the 35mm, but that's a bit short in reality (you have to get in too damn close).
So really, I'd say you have three options: learn to reverse, buy tubes, or shell out for the 50mm f/2. As always, do your research on google and slrgear.com (bookmark it. Now.) and have a look on dpreview.com in the Oly sections to see what people are using there, because there's bound to be some good stuff.
End of novel. Hope you got through, and learned something on the way :D