Too many to choose so I’ll try to limit myself to one or two species/groups from some of my favorite orders
Luna and atlas moths definitely come to mind, and swallowtails are always nice to see.
I also think wasps are really cool, but I definitely have a healthy respect for their space. Mud daubers are definitely in my favorites because they’re great builders and have a sleek and elegant look.
Large beetles like Hercules or Atlas beetles are great, their sheer size and power is impressive.
Crickets and cicadas both provide great background noise (if you’re not too close, otherwise they’re a little too loud for me) and both look cool as well.
One insect I saw yesterday was also very impressive. Hadn’t heard of handsome meadow katydid before I saw one but I looked it up and the display of colors looked so alien, or at least something that would be more at home in the tropics than in New Jersey. Compared to the other katydids I’ve seen this one definitely stands out.