Arthropods have segmented bodies, jointed apendages (legs), and exoskeletons (a hard shell). And so do insects, since insects are arthropods. But insects also have more features in common, like their three body segments and six legs. We know the centipede had a lot more legs than that!
For more info about bugs--both insect and non-insect-- check out bugfacts.net or this great list of all kinds of insect resources.