Generally no, just ones that are unwelcome in my territory. Spiders indoors, and wasp nests in my yard, for example. House centipedes meet untimely deaths. For a lot of bugs, we catch them and let them go outside.
For bugs in our yards, I teach my kids to respect them and about the role they play in the ecosystem. My younger daughter loves animals and insects, and tends to catch them and keep them for temporary 1-2 day pets, then releases them in the yard. Moths, butterflies, house flies ("Fly Guy!"), grasshoppers, rolly pollies, slugs, you name it. She loves them all.