Depends on the bug~
If it's just a small bug, such as a regular house fly or a gnat or mosquito, the most I'll probably do is just swat it away. Larger bugs usually elicit a single yelp from me, and then a sudden frenzy to shake them off, especially if they startle me by making noise (had that happen once, a bug landed on my shoulder and I didn't realize it was there until it buzzed in my ear. Startled me quite a bit, it did). Same thing applies to things like spiders - while I don't mind seeing spiders, I'd rather they stay as far away as possible - and ants...since we get fire ants around here, which you do not want to let stay on you.