Yep, different species have different mating rituals, but I can't think of any that mate in mid-flight. All birds mate first, and then the female lays eggs (in captivity, females will sometimes lay them without the, um, preliminaries, as has been mentioned
). The eggs are made mostly of hard calcium, so it would be hard for a male to fertilize them after laying!
Females actually will eat things like bits of bone and shell in order to get enough calcium to lay eggs.
Amphibians fertilize outside the body. The male usually hops onto her back and grabs on, just to keep other males out of the picture. Then they wander off like that to find a good spot. The female lays, the male releases sperm, and they kick their legs around to mix it up. Funny story! A lot of male frogs grab the female and don't let go again for DAYS! And the instinct to do this is so strong, that if they get too enthusiastic and accidentally grab a stick, they'll still hang onto it for DAYS! Hee hee!
Fish are the same as amphibians, except the female lays, the male releases, and then he swishes his tail around to mix them. Sheesh. Sounds more like cooking than sex to me!