Here is a picture guide of the 5 collectible bugs (insects, not game bugs) in Skyrim by rsjac.
There are no quests in the game for these, so they are just for your own personal collection. There is also writing on the bottom of every lid.
If you already ran into one of these and lost it, don't worry, they will eventually respawn where you found it originally.
Bug: Moth
Duskglow Crevice
Location: In the Pale there is a Falmer hive called Duskglow Crevice. Near the end of the cave system there will be a small room near the last fight, and the moth is in there.
Bug: Torchbug
Frostflow Lighthouse
Location: In the first room inside the lighthouse it is on the mantlepiece above the fire. Mind the blood.
Bug: Dragonfly
Dushnikh Yal
Location: Kill all the Orcs, then enter Burguk's longhouse. Go through the trapdoor to the cellar, and the jar is on a cupboard underneath the platform you come out on. It might take a tiny bit of searching, but you can hear it pretty clearly.
Bug: Butterfly
Alchemist's Shack
Location: An odd little building in the Rift, bursting with alchemical ingredients, houses the Butterfly on a shelf.
Bug: Bee
Goldenglow Estate
Location: The last bug is in Aringoth's bedroom on the second story of the estate. It is just on one of his dressers. There is a certain Thieves guild mission that takes place here, and I found I could not get into the place without TCL before I took the mission. Lots of invisible walls. So might be tricky for console gamers.
Enjoy your new bug collection!
Thanks again to rsjac for this guide and for the screenshots.