A spider isn't actually an insect, but taking all arthropods - insects, millipedes and centipedes, crustaceans (crabs etc) and arachnids (spiders etc) there are so many to choose from...
I like jumping spiders - they are such feisty little things and many are brightly coloured. The males' antics when courting the female are so funny too. I saw a TV programme that showed a jumping spider hunting another kind of spider. Even the clever and secretive leopard could surely not have been more cunning or resourceful in the way it stalked and captured its dangerous prey.
I also like the peacock mantis shrimp for its dazzling colour, and the fact that it packs the biggest punch for its size than anything else we know of (In captivity it needs specially reinforced aquarium glass or it would smash it!) It also has the most amazing eyes - unlike any other creature - with TWELVE different colour sensing pigments (we have only three or four). It is also able to perceive polarised light in every direction instead of only one plane like most creatures that have that ability.
For true insects, one of my favourites was a fly I once saw when working in East Africa. It had very long front legs with white ends. It would crouch down on its "elbows" with its hind end tilted up, while patting the ground in front of it with these long legs. The action was exactly like a puppy wanting to play.