I'll dig up the article later but someone made a really sweet little flying bug. It was apparently pretty hard because the principles that make larger airplanes and helicopters fly didn't work on such a small scale.
Edit: Later means right now. Here's the article:
http://www.technologyreview.com/Infotech/19068/page1/ and here's the metafilter discussion:
http://www.metafilter.com/63135/Robo...sect-Takes-Off