Some people I know have learned how to capture flies within their bare hands.
They've showed me how, but I lack the speed and reflexes to react properly before the fly gets out of reach. Basically, you position your hand to one side of the fly, slightly above where it's rested. With a sudden motion, you swipe your hand forward and pull your fingers in (leaving some space, of course). With any luck (or skill, preferably), the fly will have flown up, straight into your cage.
It's an interesting technique, to say the least. I guess it's a fun thing to do too, as long as you're good at it. But it can't be too pleasant for those fretting flies.