[Gambit]

Hunting spiders, like the wolf spider (ok, not really an insect, but does fall into the broader category of "bug". (Note the small 'b', Ambush ) )

Mantises do, sort of. They don't jump with all their feet, but look at those arms in action and tell me it's not a pounce.

Wasps hunting prey pounce on their victims, sting them, and lay an egg in the paralyzed insect for the young wasp to eat.

Ant lions. The ones that dig a pit in the sand and wait at the bottom for something to come along, slip in and can't climb out? They pounce. And man, have they got the teeth for it.

Lots more, I'm sure.