I lived in a house with a lot of cockroaches as a kid, and it's not so much that they are scary, but rather repulsive. Other beetles and even spiders have that redeeming quality of somehow connecting to the nature outside, so they feel "clean", for lack of a better word, as long as you don't look too closely at them. But cockroaches, man, they live in our houses and feed on our dirt. They're like everything ugly we like to pretend about us doesn't exist, but can skitter around and jump in our face whenever we least expect it.