I saw a scorpionfly which I thought was odd because I had never seen anything like it before, and I saw another one a few years later, but none since.
A few months ago I saw a very weird creature crawl out of a load of pumpkins that was probably from Mexico. It didn't look like any bug I'd ever seen. It was very long, maybe around 4 inches, and looked sort of like a cross between a mantid and a couple of beetles end on end, and moved awkwardly. I was too wary of it to go in for a closer look because I didn't know if it could sting or bite. Someone else saw it and raised their eyebrow not knowing what to think of it either.
The strangest non-arthropod I've ever encountered was probably the frilled lizard I saw at the Houston Museum of Natural Science on the same day I went to see Lucy.
It actually put its side flaps out and displayed them for me. That was awesome.