Here's my starter list for now:
For flowers and insects in the Raleigh area, JC Raulston Aboretum is a sure bet.
For miscellaneous objects for a treasure hunt in photography, the area flea markets are great!
Hmmm....what's your definition of a macro? This looks way too wide to be macro.
For me a macro is anything photographed closer than about 30 inches away (something I have to use my camera's macro setting for). I admit the photo above falls at a borderline though being that its at the very limit with part of it beyond that limit. A true macro which cannot be anything but a macro is usually photographed from as close as a few inches away. I think with my camera I can get as close as between 2 - 3 inches away and still have the image in focus.
Typically, 2-3 inches is more like it. The idea is that the subject in your photo is actual (life sized) or larger.
Here's one of my faves from when I was first experimenting around with macros, and it's close! These are some Ironweed flowers I photographed back in 2005.

This is a beautiful macro! Love those textures and color!
Just a note, this upcoming Tuesday and Wednesday the server at ImageStation from which I linked in this photo is going offline for upgrades and some TLC, so don't be alarmed when you see that little dreaded red X where that photo should have been - it will be back (along with a few others that I had previously linked in elsewhere onsite).
In the future I plan to upload some copies of some the same to this site and edit them in place of the linked in images so we can keep them all on site, but during a time when I won't be filling up the whole front page row with photos... a slow process I guess so I may have to pick and choose some of the most recent or interesting first. When I posted the above photo I was kinda in a hurry. I guess in the future I will have to plan some things well in advance so they don't get too deeply buried in the archives before I can add or update them.
In response to the original picture at the flea market...
I agree...that isn't really a macro shot....
However, think of all the possibilities that you could have shot in macro at that site! I would have loved to have found that site myself. You could have shot macro shots of various angles of the models faces, fingers, parts of their hats, interesting bits of their costumes, capture great angles and colors, jewelry and their necks, or rings on their fingers, the pumpkins, the feathers, etc, etc, etc, etc. Lots and lots of options. A macro-lovers dream!
I use macro just about anywhere. Certainly out in nature (and the arboretum as you mentioned). I caught this bee and flower in front of a book store:
Nice capture, Dave. Hadn't seen this one.
Here's a macro example of miscellaneous objects
Here's an example of a flea market find for macro photography. This was photograghed at the morning of August 4, 2007 while visiting the NC State Fairgrounds Flea Market in Raleigh.
One thing I will have to admit is one never knows what kinds of photographic treasures they might find in such places as this area's local flea markets!