Likely aphids. Put on a glove and squish them with you finger, then give the rose a hard spray of water to knock off any that you've missed, and let it dry. Repeat for a few days.

If you use an insecticide, the good bugs will die too. If you just use water, the good bugs will arrive and eat the bad bugs. Keep in mind that good bugs always lag behind the bad bugs, but they will show up eventually and do their job if you don't use insecticide.

Fungus gnats?

http://www.ext.colostate.edu/pubs/insect/05584.html

Also check out pill bugs.