Other than honey from bees and silk from silkworms, were there other instances where insects were "domesticated" and put to use? Or even if insects and their derivatives were collected from the wild and used?
Note, none of these insects were properly 'domesticated,' but they were harvested for their products and probably could have been domesticated.
A red dye extracted from the insect Kermes vermillio. Native to the Mediterranean region and used to produce the cloth called "scarlet" in the Middle Ages. It was replaced by ...
Another red dye from a related bug called cochineal, this one native to the New World. Imported to Europe and wider use during the Age of Discovery, but used by Native Americans at an 'ancient' technology level. It is still used to today, specifically since it is edible while chemically produced aniline dyes often aren't.
Resin from the lac bug. The resin is dissolved in alcohol then brushed onto things as a glaze. Being bug-produced, also has the advantage of being edible over chemically derived glazes. As a wood finish, it was in common usage in the Western world until the 1930s.
According to http://www.rnceus.com/mag/magdbtx.html, maggots have been used for wound debridement since (at least) the end of the Middle Ages.
(As @a4android so rightly pointed out, leeches aren't insects. But... they're little, disgusting and my ex-wife would want me to kill!! kill!! kill!! them just like bugs.)
Leeches, specifically Hirudo medicinalis, the European medicinal leech, for bloodletting.
The first description of leech therapy, classified as blood letting, is found in the Sushruta Samhita, an ancient Sanskrit medical text. It describes 12 types of leeches (6 poisonous and 6 non-poisonous). Diseases where leech therapy was indicated include skin diseases, sciatica, and musculoskeletal pains.
In medieval and early modern medicine, the medicinal leech (Hirudo medicinalis and its congeners H. verbana, H. troctina, and H. orientalis) was used to remove blood from a patient as part of a process to balance the humors that, according to Galen, must be kept in balance for the human body to function properly. (The four humors of ancient medical philosophy were blood, phlegm, black bile, and yellow bile.) Any sickness that caused the subject's skin to become red (e.g. fever and inflammation), so the theory went, must have arisen from too much blood in the body. Similarly, any person whose behavior was strident and sanguine was thought to be suffering from an excess of blood. Leeches were often gathered by leech collectors and were eventually farmed in large numbers. A unique 19th century 'Leech House' survives in Bedale, North Yorkshire on the bank of the Bedale Beck, used to store medicinal leeches until the early 20th century.
They're used my scientific medicine even now.
Medicinal leech therapy (also referred to as Hirudotherapy or Hirudin therapy) made an international comeback in the 1970s in microsurgery, used to stimulate circulation to salvage skin grafts and other tissue threatened by postoperative venous congestion, particularly in finger reattachment and reconstructive surgery of the ear, nose, lip, and eyelid. Other clinical applications of medicinal leech therapy include varicose veins, muscle cramps, thrombophlebitis, and osteoarthritis, among many varied conditions. The therapeutic effect is not from the small amount of blood taken in the meal, but from the continued and steady bleeding from the wound left after the leech has detached, as well as the anesthetizing, anti-inflammatory, and vasodilating properties of the secreted leech saliva.