Insect Leg Anatomy

     The legs of all insects are made up of the same basic parts - femur, trochanter, coxa, tibia and tarus, but they can differ considerably.  At left, is the rear leg of a cockroach.  It is long and lean, made for running - as anyone who has watched them scamper across the kitchen know.  They have spines which point backward.  They are used for holding onto surfaces.  Compare it to the rear leg of the grasshopper.  It has a large, strongly-muscled femur to help it leap into the air.  Such leaps are often used to get it off the ground so that it can start flying.  
Honeybee Leg Mole Cricket Leg Water Beetle Leg
     The Honeybee's back legs are covered with hair.  Pollen sticks to the them and is collected into a special area on the leg called a pollen basket.  The Water Beetle's legs are fringed with hair which helps push it through the water. The Mole Cricket's legs are short and spade-like, making them especially useful for digging. 

Glossary

coxa - the basal segment of the insect leg, somewhat comparable to the ball joint where human leg fits into thigh.
trochanter - leg segment between coxa and femur.
femur - the third leg segment, comparable to human thigh bone.
tibia - the fourth leg segment, or shin bone.
tarsus - the part of the leg beyond the tibia - the foot.