I like the second of the two the best. I find the first one a little underexposed, thus losing some detail of the bee.
Not that I know how to do macro any better than anyone else but here is what I mean by detail:
http://www.flickr.com/photos/silversproduction/2721841743/This second one was shot at f2 and is really soft which is not usually how to do a macro however I was focusing on the eyes.
http://www.flickr.com/photos/silversproduction/2728591141/My suggestion on lighting is to take a wireless flash (or one that is wired) but that is external and hold it to the side. Decrease the aperture to somewhere around 5.6 - 11-ish (till you see the effect you like) and shoot some light from the side to
help compensate for the shadow (aim towards the dark area to fill). I focus in one of two ways, sometimes I just AF and sometimes that works. But I find that if you manual focus, then hold the camera and external light together and move ever so slightly in or away you wil see that moment of perfect focus through the window and that's your shot. This is a little more reliable on moving insects but takes practice. Maybe someone has a more reliable way but it seems more reliable than AF on a moving object where C-AF also wouldn't work on some insects who only stick in one spot for a 1/10 of a second (sometimes more).