You can use an on camera flash if your macro lens allows you enough distance between the subject and the lens. If not, the lens blocks the flash and you get a shadow.
With an accessory flash on the camera, you gain an extra few inches of height, reducing the chance of that shadow effect.
You can also use a diffuser or reflector to help bring the light down in front of the lens from an on camera flash, thus eliminating the shadows. I have a 12 inch collapsible light disc (diffuser) that is really good for this. If I hold it at an angle in front of the flash but tilted down towards the subject, I get nice even lighting and no flash shadow. Unfortunately, the diffuser scares small animals when it is close.
To use a flash off camera, you need one of three things -
1. A sync cord and a flash that can use one. This allows you to move the flash off the camera in any direction at least as far as the cord will stretch. This system is moderately cheap, but you have wires/cables to deal with (usually not a problem) and flash sync cords are infamous for failing after some time (I just replaced mine).
2. A wireless off camera flash. Certain camera bodies allow you to fire off camera flashes with either an infrared signal or using the on camera flash to signal the off-camera flash. This frees you up even more since there is no cord to tangle or have watch out for. This option is cheap with some models as no extra accessories are required (other than the flash) but expensive with other brands where you have to buy the wireless controller separately. There are limits on flash sync speed with some wireless flashes.
3. A slave flash setup. You can buy slave flash units that automatically fire when the on camera flash fires. You can even block/divert the on camera flash to prevent it from lighting the subject and let the off camera slave flash provide the light. This setup is cheaper, but you lose the TTL ability to control the light. It is trickier to do well.
Off camera flash gives you a lot of creative options with lighting that just aren't possible with the flash on the camera.
-----
Chris Harrison
San Antonio, Texas