You might want to check out this short making-of documentary for Amon Tobin’s album Foley Room. He records everything including insects on that record. And it’s phenomenal!
Yeah Amon Tobin is recording all kinds of insects and “micro sounds” and has been experimenting with foley stuff since Foley Room. I’m sure he’s using expensive hyper sensitive mics, though. Maybe check Equipboard.com?
On the topic of contact mics, I would like to start experimenting with this kind of stuff. Have always been intrigued by this but never really got into it. So the other day I was looking for a cheap piezo mic for my guitar, and I’m thinking buying a few contact mics. 1 for the guitar and another one to connect to the iphone / ipad.