Please check out the The Dragonfly Gallery!  Dragonflies and Damselflies are graceful in flight and are very photogenic.

They are also a very beneficial insect that devour other insect pests like mosquitoes.

Here are some other interesting insect photographic subjects.  I'm not an insect specialist and I can't even identify a lot of these specimens.  The pink moths (Rosy Maple Moth) with green eyes, in a yellow wildflower, after a gentle rain are one of my favourites.  The Ichneumonoid parasitic wasp was almost 8" long from antennae to the end of the ovipositor.
Monarch Butterfly Closeup - 2006 Lauri A. Kangas Visitor in a Flower - 2005 - Lauri A. Kangas
 Grasshopper 2005 - Lauri A. Kangas
    Rosy Maple Moth  -  2002 Lauri Kangas