This has crossed my mind a few times. In the UK, we have this strong insecticide called "Raid" which is a spray. Kills most insects pretty quickly. I'm certainly no saint when it comes to killing bugs but I have felt a pang of guilt at times. When I was at university, during a summer a huge amount of ants invaded my room. Since this was a discovery after being out of my dorms for a while and I had to get some sleep, I'd have felt pretty worried about sleeping with nearly one hundred of them marching about, so I used some Splenda as a bait to move and isolate them in a corner. The next day I got some of that Raid and watched many dozens of them twitch and die in front of me.
Now, often I wouldn't really think much of it. I think killing insects that invade your territory is justified if there seems to be no way to resolve a situation without killing them. If they pose a threat to you in some way, I don't see much wrong about it. I guess it ultimately depends on the insect in my case. Ants fascinate me. This is a long documentary (nearly an hour), so whilst I highly recommend watching it since it's very well done, you might want to just skip to near the end about ant hills.
In the past, I often thought of ants as being very methodical, sort of pre-programmed to an extent. I suppose that's a general argument supporting harm towards insects; that they're unintelligent, but research has recently suggested insects may be more intelligent than we think. And when I look at these ants and what they're capable of, and how amazing the lengths they go to for their colonies are, I suppose I'm a little empathetic. The ants never meant any harm, and they're amazing creatures. Since when did I have the right to disregard them as being a worthwhile lifeform?
On the other hand, any insects that may harm me, I'll kill without hesitation. Wasps, certainly. I wouldn't feel any guilt at all. Flies that constantly annoy me, I'll also feel the need to kill. There's no easy way to get a fly out of your way. Additionally, I will usually kill a large spider. Ever since a spider jumped on my face when I was trying to get rid of it with a more peaceful approach for an ex-girlfriend, let's just say I've developed a small phobia. In short, I understand the killing of insects if they're pests that can't be controlled through any more humane means. But if it's possible to get rid of them using other methods, I see killing as unnecessary.
How about you? Do you ever feel guilty? And do you, perchance, ever think about the intelligence and lives of insects and watch documentaries? I take a great interest in the praying mantis, and I know they're highly intelligent creatures.
My favourite colour is green, my favourite number is 19.