I stumbled upon this and thought it was the coolest thing ever. I would love to try this. It would be cool to use things other than candy as well.
Here are the instructions on how to do it: http://www.petapixel.com/2011/09/30/candies-photographed-in-water-drops/
It’s actually easier than it looks. If I ever get a 100mm f/2.8lens I will try it.
Here is a photo of the setup: