This issue was part of my motivation for getting a Smith helmet with Koroyd. (That, and I think it looks pretty darned cool.) It won't keep out the lil' suckers, gnats and such, but nothing major is going to get in.

I ride near a lot of bug magnets - farms, apple orchards, rivers. Getting stung by a bee that decided to hitch a ride on my arm was enough fun for me. I've seen them get trapped in helmets on group rides as well; not a good time.