Reading the replies to this post made me think…You wouldn’t believe that most of these larger insects make great pets.
The Australian Rhinoceros Roach (Macropanesthia rhinoceros) will mostly feed on Eucalypthus leaves and live for years. Enough time to get used to them and maybe develop some kind of friendship. The link you suggested (@Lynn) for images of bug bugs is quite interesting, however, there are larger bugs than the mentioned ones. So, a few notes to add:
The Atlas moth (Attacus atlas) is a very common species and it is indeed very large. However, the hercules moth (Coscinocera hercules) is slightly larger.
I think the Camel spiders of the Middle East are some kind of a hoax, the largest I have ever seen and heard of was around 5 inches. Although that bite looked pretty real!
While Goliath beetles are the heaviest beetles, there are several larger species such as the hercules beetle (Dynastes hercules ssp.) and Titanus giganteus which grow up to 18-19cm.
Giant water bugs are common in most places, but you are very unlikely to see them unless you go swimming in ponds.
However, most of these giants are really really rare and while the idea of having them crawling on you definitly is not tempting, it would also be an interesting sight and definitely make for some fun holiday snaps.
I personally am really scared of mosquitoes and cockroaches. First of all they are almost everywhere and in Bangalore, they really transmit a lot dangerous diseases, such as Chikungunya and Dengue, or food poisoning. I had food poisonings quite regularly some time back, so I have my reasons to really not like them. (Don’t worry, I am not going to go into detail!)