What do I need to collect insects?

Answer 1

Very thin straight pins.

Homasote board (to pin the bugs to).

A book identifying common insects of your region. Any bookstore worth its salt will have one.

A way to make labels.

Patience.

A willingness to be bitten.

A willingness to place insects in jars so that they can die, so you don't pin a living creature to a board.

That's about it.

Answer 2

The first thing is some way to catch them. A sweep net or aerial net is the usual method. It's easy to make: for an aerial net, take about 3' of broomstick; at one end cut a shallow groove on opposite sides, about 2-3" long (doesn't have to be much - this is for the ends of the wire rim of the bag to 'lock' into). Now take a wire coat hanger, undo the twisty bit and cut it off with the wire cutter part of a pliers. You only want the relatively straight part. The bag can be made out of anything lightweight and sheer, like an old sheer curtain (curtains are good because they already have a hem at the top for the wire to go through). Take a piece about 3' long and 2-3' wide, fold it in half, cut it at the non-hemmed end so it forms an arc (now it's square at the 'top' end, rounded at the other). Now sew it closed so it forms a sack. You're almost done! It's inside-out, so reverse it; bend the wire into a loop and feed it through the hemmed part so the a couple inches stick out on each end. Bend them so they're parallel, and fit them into the grooves on the pole. Tape them in place with electrical tape, very tightly. (Duct tape will work, but it stretches and has to be replaced; electrical tape is elastic and holds the wire in place better). Now you have your net. It's good for catching insects in the air, but it's too delicate to go bashing through weeds with, so you might want to make what's called a 'sweep net' for that. Same basic idea, but heavier material - light canvas, or something like a heavier curtain if you have an old one that's being thrown out. You use this to sweep through weeds to gather things like insects and spiders that don't fly.
Once you've got them, you need to kill them if you're collecting. Take a big jar with a wide mouth, like a peanut butter jar; make some plaster, put a wadded-up paper towel in the bottom and pour a couple inches of plaster in on top and let it harden. It should have a fairly smooth, flat top. When you're ready to use it, pour in a small bottle of nail-polish remover (the acetone in it does the killing) and let it soak into the plaster and towel underneath so the surface is dry (have the lid on the whole time - here's where using a peanut-butter jar is good; they have that rubber sealing gasket in the lid!). Now the killing jar is 'charged' and ready to go. Now all you need, as the fellow above said, is some pins and something to put the pins in. A block of styrofoam or a couple of thick pieces of cardboard will do, and a box of some kind to put them in the bottom of. A shallow box is better, and preferably one with a lid of some kind. If you're going to collect butterflies or moths, you'll need a spreading board as well, but that's more than I want to write about. Beetles you pin through the right-hand wing case, most other insects you pin through the thorax. Spiders and other soft things have to be stored in an alcohol or preservative solution. Have a label under it on the pin with your name, where and when you caught it, and what it is (Latin name is best). There are lots of tricks about collecting and mounting insects - many of them should be found in the many books you can get out of the library. Field guides are a good way to start.