Well, since no one answered this, I'll give it a try.
Focusing speed an accuracy should be your top priorities. The camera of choice lately seems to be the Fuji Finepix F810. It is available in Europe, but is no longer being sold in the US. However, you can get them on eBay. The F810 has very fast focusing. You can stack the Inon 165 macro lenses to get supermacro (see Dr Bob Whorton's photos on digitaldiver.net). The F810 also seems to perform better at higher ISO settings than most digicams.
An idea of a setup might be:
F810 + card ~ 450$
Ikelite Housing ($300)
Inon AD Mount converter for UL-165AD $14
Inon UCL-165AD lens $135 ea
Ikelite DS50 strobe or Inon D-2000 strobe about $500
Ikelite or Ultralight arms
You can always add a wide angle lens.
Or, if you can wait just a little bit, there are a whole slew of Canon cameras coming out. The new A-Series (A620 has 7MP) have Digic II processing which allows much faster focusing than previous Canons. Fuji has the new E900 and S9000 coming out. Chances are the Ikelite will have a housing for one of them.