The tarantula hawk is in the same order as the bee, that isHymenoptera. Another example of an insect, but not a 'true' bug. (If you are afraid of arachnids, don't look at this link about the tarantula hawk.)
Both tarantula-related photos by Ned Harris
Tarantulas themselves, though, aren't even insects. They are in the class: Arachnida (spiders, scorpions). I spared Matt the actual tarantula, though, to show this fine tarantula hole. The silk across the opening means the tarantula is home and ready for your visit.
Photo by Angie Perryman
Millipedes and centipedes aren't in the insect class, either. But before this gets too much like school, I say: class dismissed.