Bugs

Bugs
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Insects plus other bug-like creatures like spiders and centipedes form the most diverse group of animals.  With so many species it is impossible to find a guide to identify them all.  Butterflies and odonates are well known and have many excellent field guides to choose from.  Other groups have only a few field guides to choose from if any.  The generalized insect field guides won't get you down to exact species often but it may get you as down to insect family or genus and will always get you down to insect order.  With a close-up focusing pair of binoculars, butterflies or odonates can give you much the same thrill as birding because you can easily see dozens of species on a single outing.

Bugs
Regional Guides
Bugs of Ontario Insects of Algonquin Provincial Park Insects of the Great Lakes RegionInsects of the North Woods
Bugs of Ontario Pub GB
Illustration based. Introduction to bugs. This book features 125 of the coolest bug species.  That is bugs that are big, colorful, hard to miss or weird.  It is an excellent introduction to bugs and will help you identify many of the most common insects.  The descriptions of each species are quite interesting.  The best way to use this book is to go on trips to find specific bugs listed in the guide instead of using it to identify what you find.
Insects of Algonquin Provincial Park
 Pub GB
Photograph based. Very cheap book. 8*11 size makes it difficult to take into field. If you live close to Algonquin Park then it should be possible to see anything in this guide. A good feature of the book is a key to the orders of winged insects found in Algonquin Park
Insects of the Great Lakes Region GB  
Illustration based, black and white.  Local common insects. Good for insect life histories.  Region covers Ontario but also the states surrounding the great lakes.
Insects of the North Woods Pub GB
Photograph based. Semi-local common insects. Useful for those living on the western edges of Ontario as a field guide, perhaps more useful than a North American guide.  Interesting nature notes.  Good introduction as well.

North American Field Guides
A North American field guide can fill in the gap in what is not covered by our regional guides or guides for specific groups of bugs.  There are definitely lots of cool looking bugs outside the groups of bugs most commonly studied.  These North American field guides are in my opinion all have different strengths and weaknesses that make it difficult to choose a winner.
Peterson's A Field Guide to Insects Kaufman Field Guide to Insects of North America National Wildlife Federation Field Guide to Insects and Spiders & Related Species of North America Garden Insects of North America: The Ultimate Guide to Backyard Bugs (Princeton Field Guides)
Peterson's A Field Guide to Insects GB
Illustration based, black and white with color plates.  Oldest and least colourful but the best at showing the key identifying features of insects. Uses mostly black and white paintings (~1300) with some color paintings (142).  Will allow you to identify most insects to family level. 
Kaufman Field Guide to Insects of North America
GB
Photograph based, digitally altered.  Coverage for each insect species is very brief but this guide covers more species than the others.
National Wildlife Federation Field Guide to Insects and Spiders & Related Species of North America
 
GB
Photograph based.  The classification level of the insect (class, order, family, genus etc) is well presented.
Garden Insects of North America: The Ultimate Guide to Backyard Bugs (Princeton Field Guides)
  Am
Photograph based. Geared towards people interested in removing pest insects from their gardens or just learning about what insects are in their gardens.

North American Reference Guides
Borror and DeLong's Introduction to the Study of Insects Insects -- Their Natural History and Diversity How to Know the Immature Insects
Borror and DeLong's Introduction to the Study of Insects GB
Reference, technical.  The most comprehensive insects keys are in this book.  Mostly for insect researchers.
Insects -- Their Natural History and Diversity 
 AM Rev
Reference, Eastern North America, photograph based.  This book by the same author as Insects of Algonquin Provincial Park but is far more detailed.  Excellent and usable illustrated key at end of book.
How to Know the Immature Insects GB
Illustrated key with some life history. Rather old guide that covers immature insects.

Unusual Field Guides
Stokes' Guide To Observing Insect Lives That Gunk on Your Car: A Unique Guide to Insects of North America A Field Guide to Household Bugs Guide to Aquatic Insects And Crustaceans Tracks & Sign of Insects
Stokes Guide To Observing Insect Lives Am
Digs deeper than most field guides and reveals behaviors to look for.  
That Gunk on Your Car: A Unique Guide to Insects of North America
GB
Field guide to bugs that hit your windshield.  The humorous side of field guides.
A Field Guide to Household Bugs 
GB
Even your house has life in it... This is not really a field guide; it is a coffee table book.
Guide to Aquatic Insects And Crustaceans 
GB
Illustration based, black and white. Covers aquatic bugs that you may have to wade for or capture in a net from a canoe.
Tracks & Sign of Insects and Other Invertebrates Rev GB Am
The first of its kind.

Links
These next three websites are the most useful:
BugGuide.Net  If you can't identify an insect try this website.  Post your picture and somebody might be able to identify it.  The website has perhaps more insect species photographed than any other resource.  Plus it has hundreds if not thousands of links of to other resources and books.  
Ontario Insects Ontario's insect portal.  Includes upcoming field trips and insects counts, publications (many downloadable), and a host of other interesting stuff.
Canadian Journal of Arthropod Identification New field guides for various groups of insects coming out periodically.   Definite scientific angle but the photographic keys make the field guides quite accessible for amateur naturalists.

More websites to explore:
Video Resources For Naturalists Dick Walton - Natural History Services - Online Video
Insectclopedia An insect research portal
Insects and Spiders Ojibway Center City of Winsor Information on some insects.
Canadian National Collection (CNC) of Insects, Arachnids and Nematodes
Nomina Insecta Nearctica Checklist of North American insects
North American Insects and Spiders - Cirrus Digital Imaging  Pictures
Bugbios Natural histories of select bugs, lots of links to bug web sites
North American Insect Orders
Iowa State Entomology Index of Internet Resources Extensive entomology link collection
Guide to Insect Borers in North American Broadleaf  Trees and shrubs
Bugs of the Month General interest, note: Pacific Northwest oriented.
Insects and Arachnids of Canada Series Key-based insect field guide series.  These books are quite technical.
Agriculture and Agri-Food Entomological Monographs Free PDFs from the Insects and Arachnids series and a few others.