Parasites can dramatically reduce the fitness of their hosts, and natural selection should favor defense mechanisms that can protect hosts against disease. Much work has focused on understanding genetic and physiological immunity against parasites, but hosts can also use behaviors to avoid infection, reduce parasite growth or alleviate disease symptoms. It is increasingly recognized that such behaviors are common in insects, providing strong protection against parasites and parasitoids. We review the current evidence for behavioral immunity in insects, present a framework for investigating such behavior, and emphasize that behavioral immunity may act through indirect rather than direct fitness benefits. We also discuss the implications for host-parasite co-evolution, local adaptation, and the evolution of non-behavioral physiological immune systems. Finally, we argue that the study of behavioral immunity in insects has much to offer for investigations in vertebrates, in which this topic has traditionally been studied.