I was out in the yard today just to shoot anything after the snow melt and playing with exposure. Saw a hatch of diptera of some kind coming off and took a sequence of handheld shots. The most I could get in the frame at a time was 1-3 insects.
Looking at the shots later I got the idea to use the HDR merge feature in Photoshop CS3. There are seven shots here. Might be worth playing around with some more sometime.