How to capture documentary quality footage of tiny subjects
Up until the high-frame rate (HFR) section of the video I would have said that all you need is a Canon MP-E 65mm Macro Lens, a nice LED light (so as not to fry the poor bugs with all the IR radiation that comes from tungsten halogen sources), and a camera with a reasonable video codec that accepts Canon lenses.  However, the HFR section is clearly in the specialized territory of a Phantom camera, which is very expensive.