S.C.
As far as "bug" books go, Eric Carle has written several: The Grouchy Ladybug, The Very Quiet Cricket, The Very Busy Spider (cool textured web in that one), etc. Not sure if reading them will help, but it's worth a try! I think we have a few of them out from the library right now. See his website: http://www.ericcarle.com/
There's also that "Miss Spider" show (I think it's still on Noggin, but I'm sure there are videos out), and of course the books the show was based on.
At our house, I've actually tried to make my son afraid of "bad buggies" - scorpions and spiders (we have black widows and brown recluses hanging around) - because I'm afraid he'll get bitten/stung by something poisonous. He went thru a phase of being afraid of all buggies (not as extreme as yours), but says he's only afraid of the 8-legged varieties now (he's 4.75yo). Good luck to you, and be thankful he hasn't gotten into the bug collecting phase yet! :)