There are twelve different bugs that can be caught using the Bug Net. You can collect several of each bug and use them to create potions or sell them to Stritch in his bedroom at night.
Deku Hornets can be found in Faron Woods. They are usually swarming around a hive. If you knock down the hive with your Slingshot, the entire swarm of Deku Hornets will attack you and become easy targets for your Bug Net. You can easily catch the entire swarm and add 15 or more Deku Hornets to your collection.
Blessed Butterflies can be found in all three surface regions and in Skyloft. They are often gathered in group of two or three around flower patches, but you will occasionally find them in strange locations.
If you need to find some Blessed Butterflies quickly, they can usually be found in the flower patches surrounding the Bazaar on Skyloft.
Woodland Rhino Beetle
Eldin Rollers can be found on Eldin Volcano and look like small black stones until you notice them moving! They are very fast and can be difficult to catch.
You will also sometimes dig them up with the Digging Mitts on Eldin Volcano.
You can often find Eldin Rollers just outside the entrance to the Earth Temple.