I know we are digging back into the "classic rock" genre (but SwoopGuy started it), but who can forget the Who's " Boris The Spider", which had an arguably "Gothic" overtone to it ( it was certainly "anti-pop" for its time).
There is also Zombie Girl's "Creepy Crawler" , not sure it has reference to bugs though, but the title kind of implies it.
Mission Uk's "Butterfly on the Wheel"
Also there is the German Darkwave band "Umbra Et Imago". "Imago" is from my understanding the final stage of metamorphises(sp) of butterflies and moths.
In Skinny Puppy's new album "Myth Maker", the song "Haze" has the line "death feels like the butterfly" and has a song called "Pedafly" (not sure if there is such a bug as "pedafly". This is Skinny Puppy we are talking about! LOL)
And there are album covers that may qualify: Delerium's "Karma" album has dragonflies in artwork and I think the Delerium interactive website has bugs as gif icons (haven't been there in awhile).
I hope some or all of these may be useful to you.