Fun word fact from my friend Jenna:
A bug is an insect, but other Romantic languages have the term insect without it's synonym, bug. That's because the word bug comes from the ancient term for ghost or evil spirit. This is related to the Old English bugge for something that's terrifying. According to the Online Etymology Dictionary, this is probably also related to the Scottish bogil, for goblin as well as Welsh bwg for ghost or goblin.
Also probably related are bugaboo and bugbear, which are fantastic words I should use more often, generally meaning (according to Merriam-Webster) "an imaginary object of fear" or a thing we're more afraid of than we should be. Merriam-Webster also tells me that there used to be two other, similar words: buggybow and bugger bo. The fact that current dictionary words include twerk and selfie while buggybow and bugger bo languish almost makes me want to rethink my position on prescriptive linguistics. Then again, the Oxford English Dictionary did recently add wackadoo, and I really can't complain about that.
Bug may also be related to boogie man or bogeyman. Those may (though it's a bit of a reach), in turn, be related to puca, my favorite mythological creatures from Irish folklore, who either play tricks on you or murder you horribly, depending on whom you ask.
All of this suggests that whoever first started calling insects bugs felt roughly the same as our six-legged friends as I do.