Depends. Cockroaches used to, but since moving I have seen so many of them, so... Exposure tends to reduce those feelings. I remember being in Vegas 20 years ago and seeing a cockroach the size of a walnut and that was something that did "bug" me...
The only thing that would really creep me out at this point would be spiders [since I live in a state where there are black widows and tarantulas] and scorpions, even though the majority of them in my state will only cause brief numbness and possible stomach pain. My niece was stung by a scorpion and said that she had the worst cramps for like 12 hours. That's definitely something I would rather avoid. And yes I do know that spiders and scorpions are arachnids...