I haven't caught it yet because I slacked off last winter but probably the dung beetle. I'm actually missing 3 bugs: bagworm, mole cricket and the dung beetle.
The best hint is to play the game with the sound on. It makes a shuffling leaves kind of noise before it comes out. Same as the scorpion. You have a couple of seconds to get your net ready. If you find it before it attacks you, you can catch it.
My last bug was in my dream a few nights ago, I dreamt of a miyama stag flying around my house. lol IDK how I even knew it was a miyama stag, I just assumed it in my dream and woke up thinking "huh?" So random....
Mine was the diving beetle. I don't know why that one was so hard. They just never surfaced close enough to the edge so I could catch them (and when they did, I was of course on the wrong side of the river). I finally put in the extra effort to catch it during the last bug-off so I could get my golden net.
My last bug was a cricket and it was sort of unexpected. I could have swore I had a few more left to catch but I guess not. Now I just have my fish, diving and art to finish off.