Centipede

The centipede is a bug in the introduced in. It can be found by hitting a rock with a shovel or axe, similar to the pill bug.

A variant of the centipede, the house centipede, appears in.

In
Upon donation to the museum, Blathers will say this about the Centipede:

The centipede can be found on the second level, near the rafflesia, along with the fly and flea.

In
Upon being donated, the centipede can be found in the upper left room of the bug exhibit, near the rafflesia. The exhibit has this to say about the centipede:

In
When asked about the bug, Blathers will say the following:

The centipede can be found in the leftmost glass display with the pill bug and the moth.

Real-world information
The centipede in this game appears to be the Chinese red-headed centipede (Scolopendra subspinipes mutilans), found in Asia. Contrary to common belief, centipedes are not insects. They actually belong to the class of animals known as Chilopoda, which are close relatives to millipedes and small myriapods known as symphylids.

Trivia

 * Animal Crossing: City Folk - Prima Official Game Guide incorrectly states in their bug guide that centipedes are found on flowers instead of rocks.