When used with the S2 IS, the DCR-250 has quite a small depth of field when used at high maginification (high magnification is the main point in having one). Unless the subject is flat on, it can be difficult to get the focus right. It took about 20 goes to get a couple of half way decent images of a moving ant. In bright sunlight there wasn't enough light to close down the aperture and keep the shutter speed up (I should have used some reflectors to increase the light further). The flip-out LCD is very useful for these kinds of shots.
As I understand it, the Canon macro accessory filter/lens has a greater depth of field - something to consider when shopping for a macro lens.
Last thought - as well as stills, macro-lens or super-macro insect video can be good fun to try.
Had to use some USM on this image to sharpen it up - could be blur/shake/focus issues (it's really had to hand hold a microscope :-))