The Male Dayfly is one of the 24 Golden Bugs in Twilight Princess. Its female counterpart is the Female Dayfly. This bug can be traded to Agitha for a Rupee prize.
Collecting for Agitha
At the far south central portion of the Gerudo Desert, there is a gate that Link cannot pass. Just northeast (Wii) or northwest (HD) of this, the male dayfly can be seen floating around. It is best to find it at night time when it stands out.