I’ve only seen two, ever.
Sure. But not regularly. (I don’t see anything that I would concider especially cool what I would concider regularly.)
I saw one in the restroom at night when I was at camp as a kid. I went to get a net but when I returned it was gone. I have never forgotten it. What a glorious looking moth!
Either dung beetles or carpenter bees, if we’re going by the colloquial meaning of bug.
Sensu strictu, probably the “postman beetle” or push-me-pull-you bug. Cenaeus carnifex, a kind of fire bug or cotton stainer in the family Pyrrhocoridae:
I’ve seen 2 tarantulas in the last week.
I grew up here in the American Southwest. IMO, the coolest bug has always been the harvester ant. Pogonomyrmex maricopa - Wikipedia
I used to find their huge nests in any vacant lot as a kid, but invasive species have pushed them out of most urban environments. Still easy to find in the desert.
They’re pretty big, maybe 5-8mm for a worker. They mostly gather seeds but will also collect anything they can kill. They have a nasty sting, with the strongest insect venom known. If you tap one on the back, she’ll go into a rage, head up, jaws open, signaling all her sisters to do the same. If you’re crouched near them while they’re angry, they’ll see you and run your way. If they get on you, they grip you with their jaws (which doesn’t hurt at all), then sting repeatedly (which hurts a lot) until they’re killed.
Lynx spiders are common here, but folks don’t usually notice them. They don’t make webs, but hide in the garden and pounce on their prey like cats.
(I think you can click on the arrow to see a different shot of Charlotte.)
Glowing click beetles are very cool. They are amazingly bright, especially with very low(or no) ambient light around. There was one in my in-laws’ garage once, and I turned out the light and used the beetle as a flashlight to get to their beer fridge 
This is indeed cool! I’ve been lying in bed at night and seen a stray lightning bug flash as it crawled across the ceiling, but I didn’t know there were other bugs in the US that glow as well.
Palo Verde Beetles, huge dumb flying bugs that will fly right into your face. Also vinegaroons, scary looking dopey things.
Even though this post was about a week ago, I am unable to pass by without posting my favourite map- of regional names in Great Britain for woodlice.
I’m not fully convinced that all of them are real, but I have heard several of them in the wild, including chooky-pegs and slaters.
My current favourite is the beautiful demoiselle, which are currently flittering around the local river- males look like this:
I can buy almost all of those, there’s a lot of common themes.
Except…
“Crunchy Bats”
Where’s that come from? They don’t fly, and they don’t look like sports bats. And anyway…
Yeah, lightning bugs are the ultimate in cool.
I remember seeing them as a small child. Then none for decades, and then in the early Oughts, they came back!
I feel like I can’t be remembering this right, but others my age (in Wisconsin) say they noticed this too.
Walking home from the local pub last night, I saw a dozen or so, and some of them higher than I’ve noticed them before. They really are magical…
I’m kind of fond of the fig-eater beetle (usually called a June-bug, although I am told that “June-bug” properly refers to a couple of different species).
The Jerusalem cricket, aka “child of the earth”, is weird-looking, but cool.
I lived in the far west suburbs of Chicago as a little kid, until 1975; fireflies were very common in that area in the summer months. My family moved to Green Bay in '75, and I remember being disappointed that fireflies were rare-to-nonexistent in Green Bay at that time.
…anyway woodlice are crustaceans, not insects!
(And although the wiki lists dozens of names for them, ‘crunchy bats’ is not one.
isopods, more specifically, yes, I know that. Still bugs, though.
It does say ‘common names include’…
Though I supposedly spent much of my childhood somewhere between crunchy bat country and nutbug territory, and I never heard either of 'em growing up, I choose to believe in the crunchy bats. The world is a better place with crunchy bats.
If frogs can be crunchy, so can bats. 
Wouldn’t that be where the Welsh names are?
I had a think about this, and I realised it could be bat in the “old bat” sense, which would line it up with all the granny/grandad variants.