Helena asked about butterfly. It seems that this word is exactly what it looks like: butter plus fly. As for why this is the case, no one knows. podictionary lists some theories: they like milk or butter, they're yellow, they steal milk. The OED's theory:
The reason of the name is unknown: Wedgwood points out a Du. synonym boterschijte in Kilian, which suggests that the insect was so called from the appearance of its excrement.
I've previously written about butter and fly. I was struck with the etymology of butter in the OED:
[OE. butere wk. fem. (in compounds buttor-); ad. L. butyrum, ad. Gr. βούτυρον... The Gr. is usually supposed to be f. βους ox or cow + τυρός cheese, but is perhaps of Scythian or other barbarous origin.]
Barbarous origin? When was this entry last updated, I wonder. On the other hand, the earliest meaning of barbarous was "not Greek or Latin".
addendum: Wordzguy mentions the interesting fact that many European languages have their own unrelated words for this insect. But the OED mentions German and Dutch cognates (Butterfliege and botervlieg). I assume these words are old and were replaced with the modern Schmetterling and vlinder. Does anyone know more about this?