I'd agree that a tripod will usually make macro work a lot easier - if you stop down the lens to get a deeper DOF then you'll end up with slow shutter speeds. That said I personally like the effect of a shallow DOF on many macro shots, it can give a good effect. Attached is a shot of some heather in my garden, taken with the coolpix 4500 on macro, I think the DOF has made what could have been a fairly dull shot much more interesting.
Another of my shots (in the gallery), shows the effect of using a shallow DOF in macro work. I guess it depends if you want an acurate, detailed shot, or something a bit more 'abstract'.
http://www.worldphotographyforum.com...=500&ppuser=53