Insects perform a wide array of intricate behaviors over large spatial and temporal scales in complex natural environments. A mechanistic understanding of insect cognition has direct implications on how brains integrate multimodal information and can inspire bio-based solutions for autonomous robots. Virtual Reality (VR) offers an opportunity assess insect neuroethology while presenting complex, yet controlled, stimuli. Here, we discuss the use of insects as inspiration for artificial systems, recent advances in different VR technologies, current knowledge gaps, and the potential for application of insect VR research to bio-inspired robots. Finally, we advocate the need to diversify our model organisms, behavioral paradigms and embrace the complexity of the natural world. This will help in uncovering the proximate and ultimate basis of brain and behavior and extract general principles for common challenging problems.