[I finished this just as rayray finished his post so I hope there aren’t too many duplicates.] This question doesn’t just apply to pinning insects but to collecting specimens in general. Here are a handful of reasons:
- Many species can only be identified by looking under the microscope (take moth genetalia or Asteraceae achenes).
- Natural history collections (including insect collections) represent treasure troves of data including morphological, genetic, and distributional.
- Collecting specimens enables the collector to use a taxonomic key (these are almost always based on specimens) teaching the collector how to identify using classical methods.
- Specimens can be turned into type specimens if future research indicates that it represents an unnamed species.
- It can build connections between you and your local natural history collection (whether that be a university collection, botanical garden herbarium, etc.). This connection often help the natural history collection in outreach.
- Knowing how to collect specimens allows you to aid researchers if they need help obtaining material.
- Scientists are generally more likely to use data from natural history collections. The reason for this is that the data is typically better curated and represents a more permanent record (or at least perceived more permanent record) than online sources.
- Finally, all of the above is fun, educational, and engaging!