Just a quick plug for some courses for anyone seriously interested in entomology.
I went on one of these last year, and still mean to get down to starting my own collection.
Yes, it costs £35, but if you are serious, this is good value.
One thing, which bugs some people, so to speak - you do need to kill most insects to identify them. Butterflies and larger moths are about the only insects which can be identified without killing them.