I see there are a few methods that one can use to take macro photos - but you can combine?
Is one better than another?
Obviously a macro lens ... tubes ... teleconverter ... reversing lenses ... is buying the lens the best?
That depends entirely on what you want to photograph. The key parameter is what magnification you are interested in. For the sake of the argument, let us assume you are using a APS-C sensor camera with a sensor of roughly 23.5 mm by 15.6 mm.
a) With a magnification of 1:1, or 1x, your subject scene will be exactly 23.5 mm by 15.6 mm. This is sufficient for flowers and large insects. If this is what you are aiming for, then buy a macro lens.
a2. Close-up filter. This is essentially a magnifying glass that screws into your normal filter threads, reducing your minimum focus distance. Good close up filters are expensive, those Kenko sets are not all that great (personal experience here). The only application where close-up filters are the best choice is for improving your working distance (distance between your lens and the subject). Sticking a close-up filter onto a 200 mm telephoto is one of the better ways of photographing things like dragonflies in the wild. (This is typically in the < 1x magnification territory, so it competes with "normal" macro lenses, but long focal length macro lenses are very expensive).
b) If you are interested in smaller subjects (jumping spiders, for example), then you will need 1.5x to 3x magnification (i.e., subject scene is about 16 mm to 8 mm wide). This is not achievable with an off-the-shelf macro lens, with the exception of the Canon MP-E 65 mm lens, which does 1x to 5x magnification. You have several options here:
b1. Auto extension tubes. Not a bad choice if you are shooting "in the wild", typically without a tripod. The "auto" part of the tubes give you auto exposure and even auto focus, although AF is not really that useful at these magnification levels.
b2. "dumb" extension tubes. Cheapest option, but you will have to buy them online. If you are working in more controlled conditions, providing your own lighting etc., then you do not require (or want) auto exposure, and auto focus is really not necessary --- you will be using live view manual focussing anyway.
b3. Extension tubes with reversing adaptor. This is not all that different from the normal way of using extension tubes, except that many prime lenses produce much better image quality when reversed. I am reasonably happy with the Nikkor 35 mm AF-S f/1.8 when reversed, with or without an extension tube. Because of the reverse mount you do not need auto extension tubes, so you might just as well get "dumb" tubes. Setting aperture is harder --- I wedge the aperture lever with whatever is at hand (piece of bamboo skewer trimmed with a utility knife). With a Canon lens, you unscrew the lens while the aperture is stopped down (or so I hear) --- do this at your own risk.
Your overall image quality with this approach (tubes with/without reversing) can be excellent, but this depends entirely on the lens you use. It is important to understand how extension tubes work: you are moving the lens further from the sensor. Since the angle of view of the lens is fixed, this means that only the central part of the image projected by your lens will fall on the sensor (the "sides" will be absorbed by the black lining of the lens and throat of the camera). Two things happen: you get less light (because you are only using a fraction of the lens' field of view), so your effective f-number
increases, and lens aberrations are magnified by the same factor as the subject image. Sticking a kit zoom lens on an extension tube is not going to give you good results. A decent prime stopped down to the f/4 - f/8 range is going to give you much better image quality.
You may have to consider focus stacking, since the depth of field becomes ridiculously thin at 1x or greater magnification.
b4. Bellows. If you can find some, this is equivalent to having a variable extension tube. You may even get some auto controls, but do not count on it. Bellows are thus suitable for the 1x to 10x range.
b5. Reverse-mount one lens onto another. Not my favourite approach, since you end up with the combined weaknesses of both lenses. Reverse mounting a wide angle (say, 35 mm) prime onto a telephoto prime (100 mm or longer) might actually give you good results, but you will have to experiment. I bought two cheap filter adaptors, and epoxied them together (back-to-back) to make a cheap adaptor, but you can buy them online.
A few more tips: Focal length only affects working distance, not maximum magnification. A 200 mm 1:1 macro lens will give you exactly the same magnification as a 40 mm 1:1 macro lens, but you will have to be much closer to the subject with the 40 mm lens. The 90~105 mm range of macro lenses are a versatile choice, since they can be used for other types of photography too (e.g., portraits). The 40 mm class is mostly for flowers or other still-life subjects --- they might actually be quite good with extension tubes + reverse mounting, but I have not tried that yet.
Summary: If you want to photograph really small subjects, then a macro lens is not your first choice. Bellows/extension tubes and reverse-mounting are more suitable choices for extreme magnification, but they require a fair bit of effort to use.
