I've seen a couple threads on this topic where people list things known to be troublesome. I think the problem with creating such a list is that it couldn't be completely comprehensive, leaving the possibility of someone thinking that a bug not on the "bad" list must be safe when in fact it may not be. Safer to check the known "safe" lists.
some bugs to avoid:
assassins bugs
centipedes
monarch butterflies (most butterflies actually)
fireflies
ladybugs
lubber grasshoppers (other grasshoppers/locust are fine)
boxelder beetles
hornworms that have been eating nightshade plants (such as tomatoe leaves)
hairy caterpillars
milkweed bugs
bees (they are a threatened and necessary species, please don't kill them unnecessarily!)
wasps (Unless stingers removed).
spiders (potentially bad, but some people still use them)
wild caught terrestrial isopods/ rollie polly / wood bug (captive bred ones are great though)
wild caught flies (bacteria risk - use cultured ones)
anything with spikes that could damage the tongue (like large mantids, some beetles)
most brightly coloured bugs
slugs
water snails (captive cultured land snails are great though)
any bug that may have been eating a plant that is toxic to chams