I'm not scared of alot of bugs, although being English we had the clever idea to kill any animal which could actually cause us harm many years ago so the most we have now is maybe a hornet.
When I went to Florida however, and saw a Spider with a bigger legspan than my hand above me on the ceiling, it was time to get it the fuck out of there.
I'd love to keep or observe some of the weirder ones though, like the Giant Isopods, reminds me of being a kid and collecting woodlice, only they are 100 times the size.