If I lived in Chicago, I would look for the book Illinois Insects and Spiders, by Peggy Macnamara. The "editor's choice" in this morning's Chicago Tribune, this guide, evidently notable for its beautiful watercolor plates, is for the general reader, but I'd bet young bug enthusiasts would like to see it, too. (Registration required for the Trib.)
Around here, we usually have a tiny population of praying mantises, but frankly, our feelings are little hurt because so far this year they have shunned our yard. Thank goodness the dragonflies still find the place attractive. I can do without the yellowjackets, but Junior admires the ants greatly. A large green grasshopper likes to look at its reflection in the front window each evening; I wonder if he stays there all night. Daddy long-legs spiders and their kin also keep us company outdoors. Don't get me started about the deer, the beautiful pests of the neighborhood.