Take a look at the weeds around you. Look for lumps (galls) on the stems or for rolled-up leaves. On goldenrod stems you may find walnut-sized galls containing goldenrod gall flies. On many plant stems you could find praying mantid eggs inside a walnut-sized hard foamy mass (see What in the World).
Look on trees for overwintering insects. Look at lumps on branches and stems, or in rolled leaves. Eggs of gypsy moth (in tan furry masses) can be found on bark; eggs of tent caterpillars in dark foamy cylinders on twigs; and eggs of bagworms are actually inside "bags" they make of plant debris and hang from twigs. Also attached to twigs in tough papery cocoons are silk moth pupae. Larvae of viceroy butterflies can be found rolled in leaves of willow, poplar or aspen saplings. And small adult moths can be seen on tree bark.
Look under logs and rocks, sift through dead leaves or soil and you may find a large variety of insects. In tiny crevices you may find adult (queen) hornets, paper wasps or yellow jackets. Or you could find adults (butterflies) of mourning cloaks and tortoise shells. You could find a nest of adult ants (queen and workers). In leaf litter look for walking stick eggs, nymphs and adults, and the larvae (caterpillars) of wooly bears. If you want to dig into the soil, you may find adults and larvae (grubs) of beetles.
If you're adventurous and want to wade in streams, you look under rocks and sift through the mud to find various larvae and nymphs. There you can find the larvae of blackflies, caddis flies, craneflies and stone flies. Or you may find nymphs of damselflies, dragonflies and mayflies.
And if you're really adventurous and can get to the bottom of a pond or lake, under the rocks and logs and in the mud you could find backswimmers, water striders and whirligig adults, or you could find mosquito larvae (wrigglers). So you see, not everyone "packs a bag and heads south" for the winter. There are a vast variety of insects right here. Take time a look around; you will be pleasantly surprised at what is right here during the cold winter months.