Hah, if I see a bug in my room/house/whatever I'll try and catch it first to let it outside. Just get a glass and a sturdy piece of paper or something. Caught a neat looking spider that way, once.

If it gets away from me, though, screw it, I tried to help. Then I'll just forget about it.

I've caught two little lizards in our dorm all ready, shame I couldn't keep 'em.