Since I grew up in a sup-tropical climate, I'm very used to bugs being absolutely everywhere. I was shocked when I traveled to Paris and was able to lay down in grass without anything deciding it would rather walk over me than around me. Until then, I thought people lying carelessly in grass and fields, or sitting against a tree, was the stuff of movies and fairy tales.
Still, even people in rural areas don't like having tiny things crawling on their skin. Unlike larger animals, you're often unaware even when they're right on top of you. It can be hard to kill a fast-moving bug. And when you've got a dozen or more on you, as happens with ants, you're likely to get bitten before you can swipe off all of them... or even find all of them. Walking by a nest of yellowjackets or hive of bees is even more fun.
In other words, bugs are a universal symbol of creepiness. Worldwide, cross-culturally, being covered in bugs or surrounded by them is a bad thing.
Dead Space included a scenario in which the player's character is covered and frantically swipes them off. I'm not sure how many other games have something like that.
It occurs to me that Project Natal might be able to make such an experience feel more real, more terrifying. Unfortunately, games can't yet simulate the sense of touch beyond rumble effects. But I imagine using fully real motions to brush spiders and such off an avatar's body could be fun and very creepy.