Kill the motherfuckers, it's a die or kill world out there.
Don't be pathetic like some kinda Hindu and kill 'em. Unless you wanna live in a hovel filled with roaches, spiders, and all their shit.
I only kill insects that annoy me... And I let centipedes go, they are awesome. I think I have a 2 inch long centipede and a few smaller one living around my house - I sometimes run into them at night. You know how useful those centipedes are? They don't touch you, don't show themselves during the day, don't have any nets and don't seem to leave any visible crap, and they eat spiders so you don't have to hunt 'em down. Seriously, if you have a lot of spiders, centipedes totally own them. I haven't seen a spider in my house for a while, my centipedes ate them all. Dunno what they eat now, but it's not my problem.
[link]http://en.wikipedia.org/wiki/Scutigera_coleoptrata[/link]
They're like your own little bug exterminator at home. Just read the list of what they eat! And that type couldn't even really bite you if they watned to.