The effective aperture does drop with increased magnification:
effective aperture = physical aperture * (1 + magnification)
So at 1x magnification for a f/2.8 lens, it's effectively f/5.6! Not so bad there, but it goes downhill fast if you start using smaller apertures for more DoF and higher magnifications... the effective aperture seems to affect both light levels (exposure) and diffraction. e.g. f/16 physical aperture at 1x isn't too bad on diffraction softening at f/32 effective, but at 5x magnification it's effectively f/96 and everything goes soft. And you still have an extremely shallow DoF...
The combo I use for more range and bugs is Sigma 150mm macro, with either 1.4x or 2x teleconverters. For the same magnification you can be the corresponding distance further away, or if they let you get close you get more magnification. That particular lens retains AF with the Sigma 1.4x but not the 2.0x, so with the 1.4x I use it for general use too. With hindsight I wouldn't bother again with the 2.0x as I rarely use it.
_________________Canon DSLRs: 7D, 5D2, 1D, 600D, 450D full spectrum, 300D IR mod
Lenses: EF 35/2, 50/1.8, 85/1.8, 135/2+SF, 28-80 V, 70-300L, 100-400L, TS-E 24/3.5L, MP-E 65, EF-S 15-85 IS
3rd party: Zeiss 2/50 makro, Samyang 8mm fisheye, Sigma 150 macro, 120-300 f/2.8 OS, Celestron 1325/13
Tinies: Sony HX9V.