First off welcome to TPF - glad to know I'm not the only nightowl in the uk!
As for your intents first off I will say that if you are looking at getting a macro lens you will find it hard to go wrong with choosing one. The true macro lenses on the market are all very sharp and whilst there is some variation between them, optically speaking its marginal - what does vary is the focal lengths and the features of the lens itself as well as the price of the unit.
Currently on the market you've got the following to choose from:
Nikon 60mm macro
Tokina 60mm macro (crop sensor only)
Sigma 70mm macro
Nikon 85mm macro (pretty sure its 85mm)
Tamron 90 mm macro (often the shortest focal length macro lens recomended if you have an interest in insects)
Nikon 105mm macro VR (the only macro lens for nikon camera bodies that has image stabalizeation build into the lens)
Sigma 105mm macro
Tokina 100mm macro
Sigma 150mm macro
Sigma 180mm macro (discontinued now but some stock/second hand copies might be around)
Nikon 200mm macro (I think this is still on the market)
Do some reading about the prices and features of those lenses and see which ones fit into your budget and ideas the best. My recomendation is to ensure that you get a macro lens that will take teleconverters (The sigma 150mm, 180mm and 70mm will take sigma teleconverters (yes they do fit the 70mm even though its not listed as being able to take them)) I am unsure of the nikons and if they will take nikon (or sigma) teleconverters.
Other things to consider:
Working distance - this is the distance from the front of the lens itself to the subject when at the closest possible focusing distance. Longer focal length lenses will have more working distance whilst those that internally focus (eg sigma 150mm and 180mm) will often have more still over those lenses that have external focusing (the lens barrel extends as you focus).
Having a longer distance between subject and lens helps as with insects it reduces the chances of the insect being spooked and fleeing. Furthermore with increased focal length you also get increased blurring of the background areas of a shot.
All of those lenses above will also achieve the exact same image frame when focused to their closest focusing point, regardless of their focal length. So at the closest point the 60mm and 200mm will give you the exactly the same framing of the shot. This is because macro (true macro) is defined by a ratio of
1:1 which is "size of the subject as reflected on the sensor" : "size of the subject in real life"
As an idea the above shot you link of a fly is somewhere between 3:1 and 4:1 I would guess, and most likely is a 4:1 shot.
Now of course you're going to ask how you get to those higher magnifications if all the macro lenses on the market for Nikon only go as far as 1:1. First of the Canon MPE 65mm is a lens capable of going between 1:1 and 5:1 magnifications - however it is a lens unique to canon alone (its pretty much the only thing canon can do that nikon can't from their basic lens range). However don't dispare as you don't have to rush out to get a Canon to get these high levels of magnifiaction.
In fact there are a great many methods you can use to achieve this result and as a first resource I recomend you have a look at and read through John Hallmens flickr page - he does a lot of highmagnification work without using the MPE lens and he often puts up good detailed explinations of his various setups
Flickr: johnhallmen's Photostream
Infact he has even shown that the MPE is not always the sharpest method for high magnification
My thoughts on MP-E 65mm | Flickr - Photo Sharing!
So what about some methods - well you can enhance the magnification of a basic macro lens with a few methods:
Extension tubes - generally for 100mm or under these give the best results since the magnification you gain with them decreases as you increase the focal length of the lens you are using them with.
Diopters (incorrectly, though often called, macro filters) These work in a similar manner to extension tubes, but are a lens element attached to the front of the lens. Raynox make a very good series of these diopters (proof of this is in the article linked above) as do canon (called the 500D)- I would strongly avoid the cheap 3 in 1 sets on
ebay as many of these are made with lowgrade glass and will degrade your image quality.
Each diopter has a power rating and the higher the power the more it will magnify your image. Also as extension tubes give more magnification with shorter focal length lenses; diopters work the other way and give more magnification on longer focal length lenses.
Teleconverters - magnify the image by their magnifiaction factor - so a 1.4 gives a 1.4:1 and a 2* gives 2:1.
Myself I use a 1.4 teleconverter on both my macro lenses almost all the time since the magnification gain is noticeable, but it has hardly any effect on image quality and ease of shooting.
When looking to do more in the past I have had good results with a Raynox DCR 250 (an 8 power diopter), a 1.4 teleconverter and my 150mm macro lens in getting a shot like this:
http://farm4.static.flickr.com/3379/3407470294_68debf4c8a_o.jpg
Note that you might notice that the depth of my shot looks less than the shot you link to and this is the result of 2 factors.
1) is the angle of shooting - its key to learn to maximise the little depth we have to work with so that it best covers the area of the insect we are taking a shot of.
2) is focus stacking (a method LordV uses a lot to very good effect) which lets you stack shots ontop of each other to give a deeper depth of field without having to use smaller apertures (which after a set point will start to soften your shots through diffraction).
The result is that no matter the route you take with current technology you will lose depth of field as you boost the magnification. I've never seen any data that states if you get any bonus with one method over another, but I suspect that if there is any difference its highly marginal and not going to make any difference outside of a controlled studio test situation.