For all kinds of fun creepy-crawlies and caterpillars you can watch grow and then release, check out Insect Lore (many of the products are also sold on Amazon). Twice we have bought the Butterfly Garden kit. Admittedly, it makes me feel like a clueless urbanite. But the this kit is terrific. You order the caterpillars, which arrive live in a sealed container. All you have to do is watch them spin a coccoon, at which point you carefully transport them into the netted "habitat". After they metomorphize into a pretty "Painted Lady" butterfly, you feed them for a few days and then release. Great lesson for the kids and pretty cool for adults.
Now, I will admit that last week my daughter caught her own caterpillar at the park and kept it in a box. Within days it had spun a cocoon. We are waiting patiently for it to emerge as a rather dull looking moth (I looked it up). I guess my point is that if you live in a wooded or green environment and have a precocious nature buff as a child, you could obviously skip the online kits and save some money.
Also, check out the praying mantis egg cases from Amazon.