An obvious example is The Beatles. There is even a band called the Dung Beatles. Before the Beatles there was Buddy Holly & The Crickets. There was also a lesser-known band called The Spiders. I'm sure there are many more that our insect community can think of.
There's a metal band called Praying Mantis, I see the cd's on ebay when I search for mantids I think there's also a band called Cocoon, but I might be wrong about that one, might be Moth. Never heard either.