Thanks all for the comments. I've never seen one either. Found out it's actually a katydid nymph (baby). I'm finding lots of bugs that I've never seen before now that I"m out there looking for them.
None of the shots in this thread are actually stacked (I tried but he was moving too much). When I do stack, I keep exposure the same in all the shots. The only thing I am stacking is focus for increased DOF, so I want the exposures as close to the same as possible. If it comes down to it, I'd rather underexpose slightly and bump in post rather than overexpose and decrease....overexposing with flash seems to increase hotspots which you can't get rid of in post without cloning....and cloning is a pain with all the varied detail on the bugs.