For backgrounds I like to use a white plastic container. This way I can showcase the nymph without too much background distraction. Obviously when I'm in the field, busy fishing, I don't have that luxury. For lighting at home I use a lamp, flashlight, or whatever I can find. lol. Not too technical. I also like to use freshwater from the tap and get rid of most of the debris that comes along with the nymphs. This way you can get a better picture without too much junk in the background.
I just use the Nikon AW100 waterproof point-and-shoot. It has great macro, along with a lot of the point-and-shoot cameras.
Was out on a river tonight and clouds of tiny Caenis sp. mayflies were coming off. We had dozens of duns landing on us and molting into spinners. Was pretty neat to see them molt right before your eyes. These were tiny, about a size 20-22.