American Entomological Society has, apparently, their whole list of common names on-line. You can search the Common Names Database, or download a PDF document with Phylum, Class, Order, and Family names. There are about 2,100 names in the database as of March, 2004. There is an on-line procedure for proposing new common names. (Link corrected 4/23/2006.)

Doing a few tests, I found that the database does not include many common names in widespread use by North American insect watchers. For instance, there are only three common names listed for Odonata (dragonflies and damselflies). There are only seven common names listed for members of the Brushfoot butterfly family (Nymphalidae). There are 143 names listed for Diptera, 491 for Doleoptera, 141 for Hymenoptera. The listings emphasize insects of economic importance.

Link updated 11/8/24 as per comments.