I don't *think* our cat eats bugs :-) but there are times that I've had to wonder. When she was just a few months old, my daughter told me that there had been a fly around the kitty and then all of a sudden she didn't know where it was. I told her with a smile that I really don't think cats eat flies (well it was our first cat! :-) ) but then when she got older I started wondering about it. If it happens, it isn't often, but the thought of it totally grosses me out!
I do notice that when her tummy is upset she eats spider webs, though... I don't know why that is, but it's happened a number of times. She rarely has a hairball, but the spider web thing happens after those episodes, or after she's thrown up for some other reason. Again, extremely rare luckily.