I agree with the upthread recommendations of a good manual flash, as well as with the sentiment that there's more than one way to do it. It's not very hard to gauge exposure when using a manual flash with a test shot or two before approaching critters, and pretty soon you'll start to develop a feeling for what settings work well. Personally, I somewhat prefer a soft but directional light, so I'm not keen on ring flashes, though with proper diffusion I've seen that they can also certainly produce wonderful results. Note that for those Pentax cameras that have onboard flash, they usually have pretty decent strength ones, so even using onboard flash with a custom diffuser actually works surprisingly well.
Personally, I've gone from a setup that looks like this (onboard flash):
to one that looks like this (Yongnuo YN-560 III plus horizontal flash bracket and wireless transmitter):
The main convenience of this second setup is that it's very easy to detach (and re-attach) the flash using the twist-screw on the horizontal bracket. Then the bracket/flash/diffuser assembly fits in a mesh side-pocket on my backpack and the camera plus wireless transmitter go on the Capture Pro while walking around. The whole is then reasonably quick and convenient to set back up when a critter is spotted. And since it's wireless it can also easily be used with someone else (a.k.a. my wife) holding the flash near the critter if, for example, some branches make it hard to approach with the flash fixed horizontally, as in the above picture.
However, this summer I'm looking to shave some weight on my macro setup, so I'll probably move back to a smaller, on-camera flash with a custom diffuser. The two flash candidates are the Pentax AF200T and the Nikon SB20. Initial tests have me leaning to the SB20 as a good weight/power compromise, but I haven't solved the issue of transport-while-walking-around yet, as the custom diffuser will be quite large...
Hope this helps!