Archaeognatha (historically, Microcoryphia): Jumping Bristletails
Bristletails are ancient insects, having emerged about 400 million years ago—long before the first terrestrial vertebrates. They are primitive insects, in the sense that they have changed less than most of their cousins. If you encounter one of these, doff your hat to one of the planet's great survivors.
Neuroptera, Myrmeleontidae: Antlions
Antlion larvae dig conical traps in loose, dry sand, to capture ants and any other insects unlucky enough to fall in. When the larvae change locations, they leave doodle-like trails in the loose sand—so in North America the larvae are known as doodlebugs. The traps and trails occur in the open but you're most likely to see them under overhangs that keep the rain from erasing them. In Albuquerque, I usually see them under the bridges spanning the Rio Grande.
I noticed the traps for more than half a century before recognizing an adult (shown above, resting on a tumbleweed). According the helpful folks at BugGuide.net, the adult is a Scotoleon nigrilabris.