On my recent trip to the city I so wanted to go to the Audubon Insectarium, but alas, it was Monday and so it was closed... My good friend and fellow insectologist, Corrie, told me just how fabulous it is so I'l have to make a point of going.
This article on it in the Smithsonian Magazine gives a taste (and literally A TASTE, including a video bit on preparing using crickets in a cajun redfish dish!)
On the topic of insectariums and North American francophone cities, let me then make a plug for Montreal's Insectarium. An amzing place housed in the old Winter Olympics complex, it is a real pleasure.
And more locally (for me), the Peggy Notebaert Nature Museum in Chicago and its Butterfly Haven - one of the better butterfly houses I've seen, with a wealth of birds as well. Check out the Butterfly Haven's Blog for some nice images.