If there's one button on your camera that you could go your entire photographic career without ever pressing, it's the depth of field preview button. Nonetheless it turns out that that weird little button is rather useful. This helpful video explains its function, quirks, and best uses.
If you've ever looked at the front of your camera at a weird angle down near the lens mount, you've probably seen a little button by itself. That's the depth of field preview button, and as you can guess by it's not-so-inventive name, it well, lets you preview your depth of field. DSLRs keep the lens aperture wide open right until the moment of exposure, even if you have it set to be stopped down. This is for two reasons: it keeps the optical viewfinder as bright as possible and it allows as much light as possible to reach the AF sensor. So, if you want to actually see your depth of field, you need to ask the camera to stop the lens down to the correct aperture. It turns out there are a few quirks to this, though, so give the great video from ZY Productions above a quick watch.
Bonus tip: The DOF preview button is normally mapped to make an off-camera speedlight flash to show where the light is falling. You can also re-map it to another function should you so desire.
Magic ... From the mouths of Babes. Thank you for pointing me in this direction
Use it all the time. Not just for macro but it's particularly useful for that. Most AF macro lenses tend to breathe too much for me. And as well as dedicated macro lenses, I also use extension tubes, close-up filters and bellows. The tubes and bellows render AF useless anyway. So, DOF preview button held down, manually focusing the lens and I can actually see the thin wedge of DOF moving as I focus, helping me to get it precisely where I want it.
In non-macro work, I'm using it just to make sure I get the range of DOF I want.
I use AF lenses but I have all my MF Nikon glass from way back and manually focusing with the DOFP button down is the best way to check you've got what DOF you need.
Depth of field preview is a very useful function and a lot easier to use on modern digital cameras than on older film bodies where it often required quite a strong squeeze to operate. Nice tip about using live view.
I re-mapped mine to do AI-Servo for events.
It is also helpful to refer to DoF charts, or a DoF app (more likely in this smartphone era :) ). And if you're doing macro on a tripod, a tape measure is a useful piece of gear