Insects are often encountered, at least with a little searching, in homes, yards, around building foundations, basements, crawl spaces, flower or vegetable gardens that are NOT heavily sprayed with pesticides, around lights at night, near streams and lakes, abandoned fields, parks, and forests.
Some insects are very sedentary and are easy to catch with a pair of tweezers.
Catching insects takes some practice. It is best not to catch dangerous insects such as bees and wasps at first. Collectors may want to keep an observation notebook to help them keep track of their expeditions. It is a good idea to make labels for insects that include collection date, location and habitat, as well as the collector's name. Place a crumpled piece of tissue paper in the jar, to give insects a place to 'hide' so they don't beat themselves up trying to escape.