Cockroaches gross me out, but I have absolutely no qualms about killing them, as long as I don't physically touch them.
Bees and wasps frighten me. If I get stung by a bee, I get a fever and wherever I've been stung swells. Wasps frighten me, because they can just keep stinging. :O!
[This question has been brought to you by Resident Evil 0 and it's giant cockraoches.]