I didn't know that there was more than the praying mantis, either. Cool!
We used to catch bunches of whatever kind of mantis they were, and put them in an aquarium until they laid their eggs. We actually saw a couple lay eggs - kinda weird. And they generally killed whatever males we put in there - I guess they didn't have any use for them by the time we captured them, but we wanted to be sure.
One year there was an egg case on our dad's chair on the porch, and there were THOUSANDS (I guess maybe it wasn't that many - I didn't count them) of babies all over the place. They were cute!
We also used to collect the swallowtail caterpillars, and raise them. Occasionally we'd forget to give them water, and then they'd shrivel up. Oops.
We always called them Parsnip Swallowtails, because that's what our book called them, or black swallowtails.
We tried Monarchs, once, but they didn't make it.
So that's what we did with bugs - did we do anything else, CG?