How do you stop at just one critter? There's too much awesomeness to just pick one!
What about Strepsiptera? The twisted winged insects with males with trilobite-like eyes and halteres and wings flip-flopped and a delightful life cycle (the male has to stab the female in the back of the head because she lives inside wasps and such)
Male going off to see the world: http://www.youtube.com/watch?v=lyaPfR-Mj98
Excellent article: http://gentlecentipede.blogspot.com/2013/02/twisted-winged-parasites-are-friggin.html
Or we've got the narrow-mouthed toad,commonly kept as a pet by Tarantulas. (really, okay, it's just to eat ants that might eat her eggs, but still, weird)
Or there's the little mite Adactylidium, who probably regrets not just laying eggs, as she always has several females and a male and sort of gives birth live. They make sweet, sweet love inside the mom before eating their way out.
Nature is AMAZING! I could go on for days.