Just as with standard photography, getting lighting right for macro photography isn't easy. The main issue is often the lack of light, especially when working at magnifications of 1:1 or above. The extension used by a lens to allow it focus closely, plus any additional extension you add means that not as much light reaches the camera's image sensor.
As well as this factor, you often need to get very close to the subject, which can result in yourself blocking some of the light. And many subjects grow or live in shaded areas, just compounding the lack of light even more.
Bruco di Antheraea Mylitta by Herman Rhoids on flickr (licensed CC-BY-SA)
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