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Lepidoptera: Butterflies and Moths
Order Lepidoptera includes both butterflies and moths.  Butterflies fly in the day and are the most popular group of insects people identify.  Moths are nocturnal, more numerous (species wise) and not so colorful.  Even so moths do get some attention, the giant silkworm moths are a sight to see.

Butterflies 
Butterflies of the North Woods, 2nd Edition Point Pelee National Park Nature Series - Butterflies of Point Pelee Butterflies through Binoculars:The East How to Spot Butterflies Butterflies of the Great Lakes Region
Butterflies of the North Woods, 2nd Edition Pub 
Photograph based. The must have.  It is missing coverage of some species from northern and eastern Ontario plus some rare strays from southern Ontario.
Point Pelee National Park Nature Series - Butterflies of Point Pelee
 
Pub GB
Photograph based. A southern Ontario butterfly book.  Quality of species profiles unknown.
Butterflies through Binoculars: The East GB
Photograph based. Has the great information on how to find butterflies.  However, it uses photographs and the photographs are separated from the species profiles.  Covers Eastern North America.
How to Spot Butterflies GB
Photograph based. Has the most detailed information on how to find butterflies.  Has a chapter on butterfly gardening.  Quality of species profiles unknown.  Covers common North American species.
Butterflies of the Great Lakes Region Pub Am
Photograph based

Butterflies of Algonquin Provincial Park Stokes' Beginner's Guide to Butterflies Common Butterflies and Skippers of Eastern North America Skippers of the Northeast Common Butterflies of the Northeast
Butterflies of Algonquin Provincial Park
Photograph based. Not very portable, covers only common species but is cheap and interesting to read.  For beginners.  Out of print.
Stokes' Beginner's Guide to Butterflies  Am
Photograph based. A beginner's guide to butterflies.  A possible starting point but "Butterflies of the North Woods" is not that hard for beginners.
Common Butterflies and Skippers of Eastern North America Am
Video. An introduction to butterflies.
Skippers of the Northeast >>
Video. A video guide to the difficult to separate skippers. Also available on the web at Skippers of the Northeast
Common Butterflies of the Northeast >>
Video.

Kaufman's Field Guide to Butterflies of North America Peterson Field Guides: Eastern Butterflies Butterflies of North America
Kaufman's Field Guide to Butterflies of North America GB
Photograph based, digitally altered. Recommended guide to fill in species missing from Butterflies of the North Woods.  Nice format.  Use digitally modified photographs.  Handy for identifying skippers because it includes variations of skippers and has some better photos than the North Wood's guide.
Peterson Field Guides: Eastern Butterflies
 
GB
Illustration based. Species profiles and illustrations are separate.
(James Scott's) Butterflies of North America  GB Pub(CR-ROM)
Reference.  Contains keys for immature forms (eggs, first stage larvae, mature larvae, and pupae) of North American butterflies.  Uses plates.  Uses scientific names not common names.  Available on CD-ROM or in book form.  One of the few books to describe subspecies of butterflies.
Butterflies of Canada GB
Reference, photobased based, color plates, specimens?, detailed range maps.  Lots of tidbits of useful information not found in the other field guides.  

Aids for Identifying Butterflies and Moths
North American Butterfly Association (yearly counts) The association for butterflies.  Sign up for butterfly counts here.
Journal of the Lepidopterists' Society
The Lepidopterists' Society
Butterflies and Moths of North America  Only for US and Mexico unfortunately, but might be useful.  Eventually Canada will be covered.
Wisconsin Butterflies Beautiful collection of photos.
Skippers of the Northeast Online identification video guide to skippers.
Sentinels on the Wing: The Status and Conservation of Butterflies in Canada (June 2009) from Nature Serve Canada
T.E.A. Seasonal Summaries of Lepidoptera Annual seasonal summaries of Ontario's butterflies.  Sometimes moths are covered.

Checklists: Penokean Hills Field Naturalists (Elliot Lake)| Thunder Bay | North Bay | Friend of Wye Marsh Biomonitoring Report | Carden Field Naturalists | Kington Field Naturalists | Ottawa (booklet form) |  Pembroke | Friends of Point Pelee | Essex County | Friends of Pinery Park | Hamilton | Toronto (booklet form)

Moths
Moths are just too numerous to have a comprehensive field guide devoted to them.  At 700 to 800 (maybe more) probable species in our area, an amount a field guide could cover, not enough interest exists to produce a regional field guide.  For information on every species you need to consult the Internet.  

Checklist of Moths of the Pembroke Area Field Naturalists.  This is the only known checklist in Ontario.  It you live near the Renfrew district it should be of use.
Moths of the Ottawa Area is a photographic guide to moths.  Because of a bug in the menu system that puts part of the menu below the bottom of the screen, use F11 to put the screen in full screen mode.  Excellent local resource.
Moth Photographers Group and is the largest collection of images of moths in North America.  It is also somewhat a portal on moths.  Some recent changes have made the site easier to use for identifying moths.
Moths of Canada is an official guide to moths but can be a pain sometimes because you have to checkmark every moth you want to see a picture of.  
Microleps is the only site to focus on micromoths, the tiny and very diverse group of the moths.
Jim des Rivieres Moth Images Another moth site based in Ottawa.
Moths in a Connecticut Woods is a website showing the discoveries of a moth watcher.  
Moth Watching and David's Butterflies and Moths.  Learn more about moths here.
Plume moths A rather difficult group of moths to identify to species.

Peterson's A Field Guide to Moths of Eastern North America Le Guide des Papillons du Québec The Moth Book; A Popular Guide to a Knowledge of the Moths of North Caterpillars of Eastern North America
Moths & Caterpillars of the North Woods Pub Am
Photograph based, natural settings. Covers common moths, about 300 species.  A good introduction to moths and caterpillars.  Good for learning about the various types of moths and some of their behaviors. Definitely the most interesting moth field guide out there.
Peterson's A Field Guide to Moths of Eastern North America Am GB
Photograph based, specimens. The main reference book if you can find it.  It is available new in reprint and is more expensive than originally.  A must have after the North Woods book.  A new edition is in the works which may be available as soon as spring 2012.  See The Marvelous in Nature for more information.  The scope has been reduced to northeastern North America rather than eastern North America which should make the edition more useful for our area.
Le Guide des Papillons du Québec
 Am (French) GB
Photograph based, specimens. This is the best moth guide, unfortunately it is in French.  Even so, much of it is designed to be usable by English speaking people.  Includes whether a particular moth has been seen in one of five areas of Quebec.  This is useful to you live beside Quebec such as Ottawa.  Covers 1400 species, the best coverage.  Out of print.
Caterpillars of Eastern North America
 
Pub
Photograph based. Covers moth caterpillars and has a picture of the corresponding adult moth.
The Moth Book: A Popular Guide to a Knowledge of the Moths of North GB
Mostly text with some black and white illustrations and some color plates. Natural history of moths.  Very old book.
MONA Series List
Reference, photograph based, specimens. This series lists and provides photographs for all the moths in North America (north of Mexico) for each family in each of its book.  Very expensive.

The Cutworm Moths of Ontario and Quebec Sedge Moths of North America The Wild Silk Moths of North America The Hawk Moths of North America
These are books on specific families of moths.  The Wild Silk Moths of North America has plenty of life history information including much that isn't of much interest to most naturalists.  The other books are fairly similar in being technical and using plates with specimens.

The Cutworm Moths of Ontario & Quebec
GB PDF
Sedge Moths of North America GB
The Wild Silk Moths of North America GB
The Hawk Moths of North America GB Pub
Legion of the Night: The Underwing Moths Pub
Note: comes on a CD
 
Caterpillars  

Caterpillars in the Field and Garden: A Field Guide to the Butterfly Caterpillars of North America Caterpillars of Eastern North America Photo Field Guide to Some Caterpillars of Southern Ontario
Caterpillars in the Field and Garden: A Field Guide to the Butterfly Caterpillars of North America  GB
Photographs. Comprehensive guide to butterfly caterpillars.
Caterpillars of Eastern North America
Pub 
Photographs. Covers both butterfly and moth caterpillars.
Photo Field Guide to Some Caterpillars of Southern Ontario GB
Photographs. Covers common southern Ontario caterpillars.

Butterfly and Moth Caterpillars: Identification Guide Provide help with more common caterpillars. Pictures both the adult and the caterpillar.  Many links to outside websites.  Extensive life history information and an identification service.  Members only area.  Needs a central index or web pages.
Caterpillars of Eastern Forests Guide to 245 common caterpillars with photographs and descriptions of families and species.

Odonates: Dragonflies and Damselflies 

Odonates i.e. dragonflies and damselflies have an appeal like butterflies.  They are quite beautiful.  However they do pose more of a challenge to identify because you can't simply identify them by their wing surface like in butterflies, you must look at their entire body.  Dragonflies are gaining in popularity.  In the province of Ontario for 2008 there were six listed dragonfly counts.

Field Guide to The Dragonflies and Damselflies of Algonquin Provincial Park and the Surrounding Area Damselflies of the Northeast Dragonflies of the North Woods Damselflies of the North Woods Dragonflies through Binoculars
Field Guide to The Dragonflies and Damselflies of Algonquin Provincial Park and the Surrounding Area Pub
Illustration based.  Outstanding.  The top field guide for odonata.  Within the coverage area all the information required to identify a species of dragonfly or damselfly is included. This include details seen under a microscope. Some species in western and northern Ontario are not covered.  The detailed coverage of dragonflies makes it very useful even outside its range.
Damselflies of the Northeast 
Pub GB
Illustration based.  The top guide for damselflies and in my opinion one of the best designed field guides out there.  One of its innovation are symbols at the top right hand corner of each species account telling you what you need for species identification.  Specifically -- for male or female do you need to examine the species in the hand, under a microscope or will binoculars suffice.  For the most serious damselflies enthusiasts it has a section on identifying selected species under a microscope.  This book fills in the southern and western Ontario species of damselflies.    
Dragonflies of the North Woods, 2nd edition  Pub GB
Photograph based.  This excellent book fills in the species missing from the Algonquin guide for western Ontario and southern Ontario.  The 2nd edition now has range maps, a new species and quick ID keys.
Damselflies of the North Woods Pub GB
Photograph based
.  This excellent book that covers western Ontario damselflies may be useful as a second or third book on damselflies.  A few species that occur in the western and south-western edges of Ontario are covered briefly in the "Rare Strays to the Northwoods" section.
Dragonflies through Binoculars GB
Photograph based. Although it has small pictures that are not as useful for identifying dragonflies, it does have a wealth of information on how to find dragonflies.   This book covers the few far north Ontario species not covered in the other guides.

Damselflies of Alberta: Flying Neon Toothpicks in the Grass Common Dragonflies and Damselflies of Eastern North America Stokes Beginner's Guide to Dragonflies A Dazzle of Dragonflies
Damselflies of Alberta: Flying Neon Toothpicks in the Grass  GB
While this book covers Alberta and thus covers only about less than half of Ontario's species you may find the species descriptions and natural history coverage interesting and entertaining.
Common Dragonflies and Damselflies of Eastern North America Pub
DVD.  Useful for learning flight patterns.
Stokes Beginner's Guide to Dragonflies Am
Beginner's guide to dragonflies and damselflies.  Useful to start but quickly outgrown.
A Dazzle of Dragonflies GB
Coffee table book on dragonflies.

Dragonflies of North America
Damselflies of North America

Dragonflies of North America Am
Damselflies of North America Am
Damselflies of North America: Color Supplement Am
Technical references.  Useful for identifying immature odonata and for in-the-hand identification under a hand lens or microscope for all species.  Very expensive, especially the dragonfly book.

Dragonflies & Damselflies of Northeast Ohio Pub
The state just south of Ontario.  Photographic guide.
The Dragonflies and Damselflies of Ohio Pub
More technical.  Keys.  Illustrations of small details.  Color photographs on 15 color plates.
Dragonflies of Indiana Am
Photographic guide.  No other information available.
A Field Guide to the Dragonflies and Damselflies of Massachusetts Pub
Covers both.  Photographs.  Massachusetts is east of New York.
Field Guide to Dragonflies and Damselflies of New Jersey Pub
Photographic guide.  New Jersey is southeast of Pennsylvania.
Damselflies of Chicagoland Pub
Free PDF.  Photographic closeups.

Regional Lists of Ontario Odonata Ontario's primary odonata website, pictures, resources
Ontario Odonata Atlas Distribution of odonata in Ontario
Dragonflies and Damselflies of Ontario, Canada Distribution data for North America for each Ontario odonata.
Great Lakes Odonata Yahoo group on odonata.  Discuss with dragonflies with other people in the Great Lakes area
A Guide to the Adult Damselflies & Dragonflies of the Ottawa District

Checklists: Renfrew County | Friends of Wye Marsh biodiversity study | Carden | Kingston | Ottawa (includes habitat information) | Northern Lambton County 

New Jersey Odonata Detailed species accounts.
Wisconsin Dragonflies and Damselflies Detailed species accounts
Dragonflies and Damselflies of West Virginia Some species accounts
Iowa Odonate Survey Even more species accounts.  Check the tabs carefully to get the accounts.

Images of Odonates - United States and Canada Photographic reference guide: Multiple images of each species
  Ode News (Where the photographic reference guide comes from)
G and J Strickland Lots of angles for selected dragonflies and damselflies, not sure if all ids are correct though.
Maine Damselfly and Dragonfly Survey Photographs of most species
Odonata of New Brunswick Photographs of most species
Digital Dragonflies Scanning of dragonflies, photographs of live specimens

Dragonfly Road The author of excellent book Damselflies of the Northeast is contracted to write an odonate guide for the Peterson's series.  This website tracks his progress.  If this dragonfly book has a format much like Damselflies of the Northeast, the book will be indispensable outside central Ontario.
Odes For Beginners
Biggs Wildlife Pond
OdonataCentral Google Maps Distribution Viewer
Dragonfly and Damselfly Links
Odonata Larvae of Michigan
Ontario Odonata Annual seasonal summaries of Ontario dragonflies.