Originally published in 1917 and revised/reprinted at least through 1948, this guide is still useful. It has a large number of illustrations, both color and line art. It is especially good on covering diptera and hymenoptera, not covered well in most modern guides. (Borror and White's Field Guide to the Insects is an exception.) Lutz did a great job of chosing notable, and noticeable, insects from a number of orders. Also includes a few non-insect arthropods.

The taxonomy is, of course, somewhat out of date, but it is worth picking up used if you can find it. The later printings/editions, (1935, 1948) can be found used for $5-$10. Try bookfinder.com , for instance.

Incidentally, despite the label of "3rd edition" and so forth, the illustrations appear to be identical among the editions, as far as I can tell. The plates are in a different order in the 1948 as compared to the 1917 edition, but they are the same.