I love how everyone says "Just take them back outside". Have you ever thought about that outside is where they came from in the first place... You kill it, its one less thing outside your home that you have to worry about coming inside. Now, depending on what it is, I do agree on just humanely feeding it to your fish instead of smashing it...
I also have a question back, if you find a brown recluse or a black widow do you play croc hunter and go after the deadly spider so you can "release him to live and kill another day"? No you smash his face to the concrete so you no longer have to worry about him multiplying and putting you in more danger.
@OP: Kudos to you for not wanting an infestation of bugs that do not belong in one's house.