Well, for starters, you need to work on making peace with these guys, for the most part.
During these cold winter days, I let them hang out around my house. I just make sure to move them to a place where they won't be in the way.
If you live in a tropical place, then the best things for removing them would be to make sure to seal your home up as well as you can to mostly prevent the problem in the first place, and move them outside if you do find them in.
For serious problems, like infestations, well... I only know of how to deal with ants- since that's the only real problem I face out here-, hopefully my method will help you come up with more ideas on how to take care of various other insects:
1) Get a large bucket (the kind, for instance, that you might plant a miniature tree or bush in) and fill it with rotten wood and sugar water (residue only, since having a pool of water in the bucket will probably end up in them being drowned)
2) Place it outside
3)Make a trail of sugar water paste and bits of the rotten wood out to the bucket. (sometimes you can just make the trail from a place you know they come in from- or that you know they can find, and sometimes you need to create a small opening in the house that you make the trail through)
4)After a few days or so, check the bucket and see if there's a good deal of ants in it, and if there is then take it out far away from your home and dump it.
5) Repeat until you no longer have an ant infestation.
Also, I've heard of ultrasonic bug repellents. I'm not sure how effective they are, but they're probably worth a look eh?