If there's no one in the house, I will let my dog eat it.. I know it's not a good thing to do, but I will go into meltdown mode if there's a particularly big spider nearby.
Usually, however, there is someone in the house, and they have a duster they make them sit on and put them outside for me.
That's spiders and crane flies though. Most other bugs are alright or I can get rid of them myself. Even that particularly vicious centipede I found I could get rid of myself.. and I like watching moths and beetles. heh.