I'd smack it, and then feed the smushed bug to my cat. She LOVES eating spiders and grasshoppers...
But if it was my sister...she would practically EXPLODE! She'd start crying and running around in circles, screaming. Wimp. Only if it was poisonous I'd get scared, because, hey, it's poisonous...must I explain?
If it's a spider, I'll twitch, and then smack it off me, mainly because it has more than six legs. Any other bug I'll just smack without a second thought, unless its a ladybug, a butterfly, or a firefly (mainly because I try to make them land on me on purpose). I know, I'm biased, not smushing pretty bugs, but still...
But if I feel like it, I guide them off my body and let it free.