Daniel Lowe: I have had excellent results from bridge cameras, specifically the Fuji HS20 superzoom. The manual lens on this camera enables fine zoom control like a DSLR and is capable of fantastic tele macro results with nice blurred backgrounds.
Others have mentioned cameras like the Panasonic LX5 (which I also own) but I don't find this anywhere near as good as the HS20. With a close up lens the results become quite spectacular for a small sensor camera.
Others have mentioned diffraction problems with small sensor cameras but this is rarely a problem because you don't have to use apertures where diffraction issues start to materialise.
@Karl: when we are talking about true macro (1:1 and above), the DoF you get with even the small sensor is more than enough to give you a nice subject separation. We are talking about maybe a 1mm DoF as opposed to 0.1mm I am currently getting with my dSLR macro setup. Some of my best macro shots I have made with a tiny Canon A75 (3mp) and a 50mm f/2.8 lens as a high quality diopter. Macro is possibly the easiest type of photography for people on a tight budget as there is a huge number of ways you can get a high magnification, most of them quite cheap.
1936Wim1107: Is there a computerized way of moving the cameraset from the nearest focuspoint to the most far point you want, to make stack pictures?
If you can afford it there is the StackShot rail. If you can't, the cheapest fully automated solution currently possible is my DIY rail: http://www.youtube.com/watch?v=XeXjpZpaZns