Palmetto bugs are found primarily in the southern United States. What are they? Essentially, a cockroach. Not your everyday, average size cockroach; no, we're talking two or three inches long. Not only that, but they have a tough shell-like covering, so you can't even squish them. And they know it; palmetto bugs I've run into generally don't seem to give a damn if you step on them or not, they know it won't hurt them. They also aren't afraid of the light like most normal cockroaches.
But I've neglected the very "best" part about palmetto bugs: they can fly. Yes, you heard me. Giant flying cockroaches that you can't easily crush and aren't scared of light. Are we having fun yet?.
Why they're called Palmetto bugs is beyond me. Perhaps so you can complain about them without having to actually say "Giant flying cockroaches", which is just bad sounding, and would probably scare away tourists (come to South Carolina, the Giant Flying Cockroach State!†). The palmetto mostly grows in the South, so I suppose that part makes sense, anyway.
As part of research for this writeup, I found a webpage entitled 'Palmetto Bugs aka freakingflyingthingsfromHELL'. I think that pretty well sums it up.
† No offence meant to SC, it's just that a) it's the Palmetto State, and b) I happen to know Charleston is loaded with Palmetto bugs in the summer.