WARNING FOR THE SQUEAMISH: THIS POST CONTAINS VERY UNSETTLING INFORMATION ABOUT INSECTS
Well, there are bugs that lay their eggs under the skin of other living creatures, and the tiny baby larvae burrow out through the skin of the hapless host. There are a couple of examples of this, though the one that comes to mind right at the moment is the bot fly - specifically the human bot fly. It targets humans, specifically.
That's seriously creepy. And by seriously creepy, I mean that sometimes they lay eggs in brains. Bot flies. In your brain.
... still with me? Cool. Let's move on!
Let's move on to ants. There are ridiculous amounts of ants in the world (how many? there are more ants in the world than there are people, probably by an order of magnitude. "super-colonies" are a thing), and they come in every terrifying variant you would like. Ravenous, ceaselessly roving army ants raiding the countryside (and by "raiding", I mean "occasionally devour horses"), fire ants with painful, burning bites that swarm in great numbers. Speaking of painful, bullet ants aren't so much creepy as they are completely terrifying. They're huge - the biggest examples being over an inch long - and their bite is considered the most painful of all insect bites. The reason they're called "bullet ants" is because being bit by one feels similar to being shot - and it keeps hurting for 24 hours straight.
Hornets are horrible. Regular hornets are regularly horrible - Asian Giant Hornets are GIANTLY horrible. They've got a venom in their sting that dissolves human flesh. Also, they're 3 inches long, and if they want to hurt you, they will chase you eve if you run. They can kill you, even if you aren't allergic to hornets.
Locusts aren't terrifying on their own, but a massive swarm of them WILL ruin any conceivable agriculture for the rest of the season, leading to famine, so that's nice.