We've got Jerusalem Crickets; though the ones in Colorado aren't as scary as the ones in California that have semi-human features.
The weirdest arthropod we have here is the Solifuge. They're fairly common; but almost no one has ever heard of them.
A couple of years ago, around the beginning of September, I saw a really strange THING crawling from the woods beyond my workplace. It looked like a huge moth or butterfly larva, but one I’d never seen - bright scarlet with some yellow spots, at least five inches long, and almost an inch thick.
I didn’t have a camera but tried, from memory, to find a picture of it on the web; and I couldn’t find anything indigenous to this area that really looked like it. But I learned something I’d never thought about before: sometimes, hurricane winds can pick up and deposit an insect far from its ‘homeland’, where it will finally land and lay its eggs.
(Winds move birds far away, too; there’s a story about a NC pelican that wound up on a rooftop in Nova Scotia.)
My ‘bug’ was probably something normal; but I’ve always wondered if it was a visitor from some far-off place ;-)