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Haven't used extension tubes myself, heard very good things about them but also that they can be hard to use. They don't degrade the quality of the image as there is no glass involved, but they are more suited to still-life macro shots, rather than insects etc.
Macro Filters are pretty good as well, I bought a Hoya +4 Close-up Adaptor for £15 (literally just like a screw on filter) and I was amazed at the results.
This is with the standard Nikon D50 18-55mm Kit Lens at 55mm with the +4 screwed on...
Yup used them a lot, if your going to shoot anything that can move I'd recommend having an external flash! The working distance can be very very small and its hard to get enough light to the subject and depth of field becomes tiny.