The Desert Locust, Schistocerca gregaria, is the World's fastest flying insect recorded to date, with an average air speed of 20 mph (33 km/h)
There are other insects that fly faster, but their air speeds have not yet been accurately measured. For example, though not proven, dragonflies have been said to fly at 60 mph and horse flies at 90 mph!
Photo credit: Arpingstone