One easy way to make the insects come to you is to setup a light at night. This is often referred to as "blacklighting", even though many different types of lights can be used. This method of collecting will attract an array of insects as well as different types of animals. I've often had frogs and toads visit and even a cat once.
The simplest light rig of all would have to be the method of tying a white sheet between two trees. Although very quick to setup you are limited in the positioning and angle of the sheet and by the necessity of having to have two trees relatively close together.
Here is a very easy, portable and cheap blacklighting rig that I've used for years...
1. Two 5' sections of 1/2" copper pipe cut into 2 and a half foot sections
2. Two couplings for 1/2" diameter pipe (with stop)
3. At least one white bed sheet
4. A light source
The poles are made from copper plumbing pipe. Use the "rigid" kind, not the type called "Copper tubing". I buy one long piece and cut it into four equal parts. This will make the two vertical poles but they can be broken down into four small parts which are easier to carry.
I hammer one end of two of the poles from both sides to create a wedge. These ends will be driven into the ground to hold the sheet up. The other two poles are connected to the first ones with a small coupling. Make sure to buy couplings that have a "stop" or your coupling will slip right down the pipe to the ground. Also, if you ever have to hammer the pipes into tough ground, make sure to remove the couplings first (learned the hard way).
Any kind of white sheet will work. I usually use old bed sheets because they are cheap and are thin enough to allow light to shine through to the other side.
To attach the sheet to the poles I use the large, black paper-clip things (always bring extras in case one goes shooting off into the grass).
I also place two sheets on the ground on both sides of the vertical sheet. This makes a nice place to set your lights and creates and easy surface to collect the insects.
As I mentioned earlier, many different types of lights can be used to attract insects. You want a bulb that emits either a white or bluish light and you want to stay away from reds or yellows. The two most common types of bulbs used are blacklight and mercury vapor, although even a standard household light bulb could be used to some degree of effectiveness.
Blacklight fixtures are cheap and ready to go when you buy them (no wiring necessary). The 18" fluorescent fixtures can be found, bulb included, at almost every hardware store. Do not use the incandescent blacklight bulbs (bulb shaped) because these only emit a very small amount of UV light and will not attract very many insects.
Mercury vapor fixtures are usually more expensive to buy and more costly to run but will put out a whole lot of intensely bright light. Most fixtures have to be modified to work on the ground. These are usually used to light parking lots from the tops of tall lamp posts, so you can imagine the amount of light these will put out. Neighbors love it when you turn 1:00 AM into 1:00 PM.
I sometimes use a fluorescent "grow light" along with a blacklight. These are also cheap, pre-wired and easy to find.
What not to use: Do not use "High Pressure Sodium" lights because put out a very yellowish light. Halogen lights did not seem to work very well either, although I've only tried them once. I am also not sure about Metal Halide.
In most situations you will need to have "hard power"
(especially for Mercury vapor) to run your rig, depending on the amounts and types of lights used. You will also need lots of extension cable.
I've created portable rigs that will run one or two fluorescent lights off of my car battery or from a modified computer-backup battery. These are very nice to get out in the woods but you can't really run them all night.
Some of the best places to setup are in fields that are next to lots of trees and away from other lights. It is also best to have your lights on right as the sun is setting. Ideal nights are warm and wind-less with no moon. Most insects will be out somewhere between mid-spring to mid-fall (depending on your area) but I have been surprised by both early and late insects.
Lots more on Blacklight bulbs:
The standard fluorescent blacklight bulb works just fine for collecting insects and is very easy to find. They are called "BLB" (Black Light Blue) and are the deep purple bulbs commonly associated with blacklights.
350BL bulbs (emit light at the 350 nanometer wavelength) are lighter in color and are often used in "bug zappers" and insect traps. These are a little better at attracting insects but usually have to be ordered. Don't worry, these bulbs are not the things doing the "zapping".
Even better still, the 365BL, or "Quantum Black Light" bulbs are said to be 100% more effective at attracting insects than even the 350BL.