My first question is "What kind of bugs?"
We have never had a pest control person at our house, and we deal with beetles, ants, wasps (evil, evil wasps), flies, spiders, etc. and we've never had a problem with them in the house.
I try to avoid chemicals when I can, but I've had good luck with different "natural" treatments.
Outside, we have both fly and wasp traps. We use RESCUE! Disposable traps1. Currently, we have one out back that has about 2 inches of flies in it, and according to the website, it can hold up to 20,000 flies (which is really gross). I've seen a few yellowjacket wasps in there as well. Nice thing about these traps is that when they're full, you just close it up and toss the whole thing away, no mess. You can pick these traps up at Lowe's.
Of course, we have your typical bug zapper outside that we move around the house, which works quite well at night.
We also have an "Insector Bug Collector Light", which apparently was sold by Sharper Image - I can't find any current sellers of it online. It's like an indoor bug zapper (same UV light) but they're blown by a fan into the netted area at the bottom, where they slowly starve to death. The bottom pops off so you can clean it.
As far as ants go, we've had good luck with your standard outdoor poison traps and spraying their hills with chemicals. My wife sprays a clear "insect barrier" chemical from Lowe's around our front door area (I can't be around, it makes me sneeze when it's being sprayed). I also posted an answer about getting rid of ants in an environmentally-friendly way on another question here.
For everything else, we use the good, old-fashioned "whack'em with a shoe" method of insect control.
1 My wife pointed out "Ugh, it smells like rotting meat", to which I replied "Good, that means it's working!" But really, they do stink, so we keep ours away from house as much as possible.