Used a Canon 40D, with a 100mm f/2.8 macro lens, at a distance of approximately 10 inches. It was not the best lighting, so I moved the camera around so the background would be as dark as possible. The ISO was from 100 to 160, with the camera set to aperture priority (Av). The shutter speeds were from 250 to 800 depending on the location of the camera, and the lens apertures from f/3.5 to perhaps 4.5.
Always use lens on manual focus for this sort of shot, and this bee happened to land on the willow. I did some fast focusing and managed to get a few good ones: