I've enjoyed trying to figure out cricket, cicada, and katydid calls. I'm not sure I've made a lot of headway, but I was delighted with several new books I acquired recently (and accompanying CD's) by Lang Elliot and friends. They were A Guide to Night Sounds, The Calls of Frogs and Toads, and the best -- The Songs of Insects.
I'm looking forward to listening to all of them.