If it doesn't bother me, I don't bother it. As others have pointed out some bugs are very useful, like the ones in the compost bin I regard as "employees".
I don't like things that sting or bite, and would try to remove these rather than kill them if at all possible.
However, in England we don't really have that many problem bugs. When I lived in the tropics it was a different story and I would cover myself and my surrounding in insect repellent, spray the bugs with poison (which I was breathing in too!). I burned mosquito coils, had a mosquito net over my bed, wore long trousers and still got eaten alive.
I guess we all have to share the planet