Light traps are used at night to catch insects. A white sheet placed behind the light may help with collecting since it gives the flying insects a place to land and fewer escape routes. Bait traps attract insects with food. Some insects are even attracted to dung. Pitfall traps are useful for catching ground dwelling insects and can also be baited.
Soup cans are an excellent size for pitfall traps.
Punch small drainage holes in the bottom, and shield the trap from debris and rain. The top of the can should be level with the ground surface, so an insect will fall right in. Either check traps often or preserve the insects with a mixture of saltwater or soapy water in a can without drainage holes. Pheromone traps use synthetic female hormones to attract male insects to its source. Pheromones for several pest insects are available commercially.