Do you smush it? Do you ignore it? Do you swap life stories and make a new friend?
Me, I've gotten quite good at the catch-and-release. I've got a cup and a paper towel that I use for nothing else (and yes, sometimes I do have to remind myself DO NOT USE THIS CUP FOR DRINKING). Put the cup over the bug as it bounces against the wall, slide the paper under the cup, and take both pieces outside. That way the disgusting little creature can be where he belongs -- outside.