For the true collector, one of the greatest works might be Dr. John (Jan) Swammerdam's The Book of Nature, first printed in 1758 by Seyffert, London, and is now called the founding tome of entomology. This very rare volume holds fifty-three engraved plates, featuring many hundreds of individual illustrations of insects by J.C.G Fritzsch. This volume set the bar and the benchmark for later entomological treatises, and a true first edition in very good condition would be worth thousands of dollars if found at auction. Luckily, there are reproductions available for the less stringent collector, asking a far smaller price.
If you are interested in this sort of gem of a book (and who wouldn't?) then you might also be interested in Dru Drury's later, 1837 compendium Illustrations of Exotic Entomology published by J. O. Westwood of London. The very first edition of this work appeared nearer to Swammerdam's in 1770, but this later reprinting, with no less than 150 hand-colored engraved plates by the author is a touch more affordable, and can be found for as little as one and a half thousand US dollars.
Not much could be said in this field without mentioning the poster-child for evolutionary biology and zoology, Charles Darwin. Although any first edition Darwin is fairly expensive, I have to mention this one volume On the Various Contrivances by which British and Foreign Orchids are Fertilized by Insects, published in 1862 by John Murray of London. It features 33 woodcut illustrations, and a very fine good edition would command a high price (some three thousand US dollars). However, a very fine edition is indeed a thing of beauty: original maroon cloth binding with gilt lettering on the spine, as well as a large stylized gilt orchid illustration on the cover. If you can afford it, it would surely become a treasured possession!
Ray, John. Philosophical Letters Between the late Learned Mr. Ray And several of his Ingenious Correspondents, Natives and Foreigners. William and John Innys: London (1718). Illustrated by W.Elder after W.Faithorne
Swammerdam, Jan. The Book of Nature; or, the History of Insects.. Seyffert: London (1758). Translated from the Dutch and Latin original edition by Thomas Flloyd; Revised with Notes by John Hill; Illustrated by J.C.G. Fritzsch
Harris, Moses. Exposition of English Insects. Sold by Mr White and Mr Robson: London (1782). Text in English and French
Salisbury, William. Hints addressed to Proprietors of Orchards. Longman, Hurst, Rees, Orme, and Brown: London (1816). Full Title-Hints addressed to Proprietors of Orchards, and to Growers of Fruit in General, comprising observations on the Present State of Apple Trees in the Cider Countries
Kirby, William. An Introduction To Entomology. Longman, Hurst, Rees, Orme, and Brown: London (1822). 4 Volumes; 30 engraved plates (the 5 in Vols. I and II by J.Curtis and hand-coloured); Full title-An Introduction To Entomology: Or Elements Of The Natural History Of Insects
Drury, Dru. Illustrations of Exotic Entomology. Henry G. Bohn: London (1837). 3 volumes; 95 copies; Full title-Illustrations of Exotic Entomology, Containing Upwards of Six Hundred and Fifty Figures and Descriptions of Foreign Insects, Interspersed with Remarks and Reflections on Their Nature and Properties; Revised by J.O. Westwood
Ronalds, Alfred. The Fly-Fisher's Entomology. Longman, Hurst, Rees, Orme, and Brown: London (1839). Second Edition; 20 hand-colored engraved plates
Kirby, William. Introduction to Entomology. Longman, Hurst, Rees, Orme, and Brown: London (1843). Sixth Edition; 2 volumes; Other author William Spence; Full title-Introduction to Entomology; or, Elements of the Natural History of Insects: Comprising an Account of Noxious and Useful Insects
Wood, W. Index Entomologicus. G. Willis: London (1854). Revised by J.O. Westwood; Full title-Index Entomologicus or A Complete Illustrated Catalogue Consisting of About Two Thousand Accurately Coloured Figures of the Lepidopterous Insects of Great Britain
Humphreys, H. Noel. The Butterfly Vivarium. William Lay: London (1858). 8 hand colored engraved plates including frontis; Full title-The Butterfly Vivarium; or Insect Home, being an account of a new Method of Observing the Curious Metamorphoses of Some of the Most Beautiful of Native Insects, also a Popular Description of the Habits and Instincts of Many Insects
Darwin, Charles. The Various Contrivances by Which Orchids are Fertilised by Insects. John Murray: London (1877). Second Edition
Ronalds, Alfred. The Fly-Fisher's Entymology. Longmans, Green and Co: London (1883). Original hand-coloured plates; Full title-The Fly-Fisher's Entymology, with Coloured Representations of the Natural and Artificial Insect, and a Few Observations and Instructions on Trout and Grayling
Darwin, Charles. The Various Contrivances By Which Orchids are Fertilised By Insects. John Murray: London (1890). Second edition, revised
Halford, Frederic M. Dry Fly Entomology. Vinton and Co: London (1897). 2 volumes; 100 copies; Signed Limited Edition; 18 wood engraved and 10 hand-colored etched plates; Full title-Dry Fly Entomology: a brief description of leading types of natural insects, with the 100 best patterns of floating flies and the various methods of dressing them
Halford, Frederic M. Dry Fly Entomology. Vinton and Co: London (1902). Second Edition; 100 copies; Signed Limited Edition; 18 wood engraved and 10 hand-colored etched plates; Full title-Dry Fly Entomology: a brief description of leading types of natural insects, with the 100 best patterns of floating flies and the various methods of dressing them
Comstock, John Henry. The Wings of Insects. The Comstock Publishing Co.: New York (1918).
Jennings, Preston J. A Book of Trout Flies. Derrydale Press: New York (1935). Illustrated by Alma W. Froderstrom; 850 copies; Full title-A Book of Trout Flies, Containing a List of the Most Important American Stream Insects and Their Imitations
Fabre, Jean-Henri. Fabre's Book of Insects Retold. Tudor Publishing Company: New York (1935). Illustrated by E. J. Detmold; Full title-Fabre's Book of Insects Retold from Alexander Teixeira De Mattos' Translation of Fabre'sSouvenirs Entomologiques by Mrs. Rodolph Stawell
Teale, Edwin Way. Insect Friends. Dodd, Mead and Co: New York (1955).
Schwiebert, Ernest G. Matching the Hatch. Macmillan: New York (1955). Full title-Matching the Hatch: A Practical Guide to Imitation of Insects Found on Eastern and Western Trout Waters; Illustrations by the author
Martin, Richard A. Butterflies and moths. Golden Press: New York (1958). Full title-Butterflies and moths: a study of the largest and most beautiful of the insects
Catesby, Mark. Natural History Of Carolina, Florida, And The Bahama Islands. The Beehive Press: Savannah, GA (1974). Collector's Edition; 500 copies; Full title-Natural History Of Carolina, Florida, And The Bahama Islands: Containing the Figures of Birds, Beasts, Fishes, Serpents, Insects, and Plants; Introduction by Georg Frick; Notes by Joseph Ewan
McCafferty, W. Patrick. Aquatic Entomology. Science Books International: Boston (1981). 300 copies; Signed Limited Edition; Full title-Aquatic Entomology: The Fishermen's and Ecologists' Illustrated Guide to Insects and Their Relatives; Illustrated by Arwin V. Provansha