The first year I did this I used a sheet draped over some chairs and 2 clamp fixtures with 13w CF black lights from Home Depot/Lowes and it worked fairly well but moths had a tendency to get in hard to photograph spots so last year a made a frame out of PVC which gave me full access to both sides of the sheet. I added 2 inexpensive tube black lights from Wal-Mart which produced even better. This year I added a 60w incandescent. The theory is the bright light pulls the bugs in from a distance and the black lights hold them once they've arrived.
Here's a link to my setup and a few others. You'll find details about the setups here. Some people like to use mercury vapor lights but I'm not ready to blind myself with these incredibly bright lights.
http://nationalmothweek.org/category/mothing/
Most of the bugs I've been photographing in my light box are coming from the sheet. I'm also able to stock my aquarium with aquatic bugs that are attracted to the lights.