What kind of marco shots are you refering? And what kind of external flash are you refering? Eg, Delicated marco flashgun, or those ordinary flash gun like Nikon SB-28?
* For insects, no, I don't external flashgun.
* For static objects such as stamps, coins etc, I do use external flashgun when there's insufficient lighting condition and setup. Usually I have my own verison of a marco-photography tungsten lighting setup. I switched to either slow-sync or manual setting on my camera. And never point my flashgun directly at the object. I use it for bounce light or diffused light source.