I really like Insect Lore. Over the years, we've done the butterfly garden kit three times, the silkworms once and the frog kit once.
I'm really tempted to do the carnivorous plant kit soon.
We also did frogs once by catching tadpoles in a pond and then watching them change from tadpoles to frogs in an old aquarium we had. They turned into such tiny, cute little frogs. Only problem was I forgot that frogs have to eat. After a couple of days they all died, which was highly traumatic to my kids who had gotten very attached to them!
Once we studied worms. We made our own wormery using instructions like this.
Some other bug related resources we've enjoyed over the years:
Children of Summer This is one of my favorite read alouds EVER in all my years of homeschooling. You'll love it.
Journey to the Ants I have one son who went through quite a phase of ant fascination who loved this book.
We enjoyed this just-for-fun book.
And for identifying the many insects and bugs you and your children discover around your house and yard: The National Audubon Society's Field Guide to North American Insects and Spiders. Invaluable!