Get outside--the backyard, a park, a near by lake or pond--and go for a walk.
As you walk with your child, count the bugs you see. Talk about number of legs, wings, and colors. If you are feeling particularly nerdy, check out a bug book from the library in advance and look up the bugs you find to learn more about them.
Consider having older children draw the bug and keep a log of how many bugs they find, etc.