I've only just started making bugs with Natalie, so a few of these are crafts we have made, but most are ideas I've pinned on Pinterest and we are waiting to try.
Toilet Paper Roll
Clothes Pin and Beads
Hungry Caterpillar Painting (coming soon)
Painting (This mom used ballons, but you could use all sorts of things - sponges, halved apples, etc)
Spiders: (coming fall 2012)