My Linus loves moths as well. The funny part is that he remembers where he last sees them or catches them and when he gets bored he goes hunting in that general area.
He chased one under the bed a few days ago and even though the moth is now long gone he insists it still may be under there and has to check it out every once in awhile just to make sure.
I figured out that was what he was doing because before he starts he jumps up on the bed and checks all the walls just to make sure it's not up there because that was where he found it to start with..
Stanley is a great bug hunter. Usually he hunts the teenie tiny little bugs that can get through the screens. Looks like he's chasing nothing until you look very closely...if something bigger gets in, Bella will help him. Like the night a few weeks ago when we had a bat flying around...(shudders)
I've never seen him eat a bug, just smack them silly.
My cats, especially Angel loves to chase bugs. We've got flies right now, with the farmers picking the corn from the fields, and the girls are going nutz trying to catch them.. It's quite funny.. They'll run into anything to catch it!