I have an estimate of 1.5 million cicadas per acre (3.7 million per ha) by Dybas and Davis (1962, Ecology 43:432-444). This is the most commonly cited density estimate for cicadas in the popular media.

I have estimates ranging from 6.9 million per ha to 60 million per ha for monarch butterflies overwintering in Mexico. Citations are Calvert, W.H. 2004. Two methods estimating overwintering monarch population size in Mexico. The Monarch Butterfly: Biology and Conservation (ed. by Oberhauser, K.S., & Solensky, M.J.), pp. 121–127. Cornell University Press, Ithaca, New York, USA.

and 

Brower, L.P., Kust, D.R., Rendón Salinas, E., García-Serrano, E., Kust, K.R., Miller, J., Fernandez del Rey, C., & Pape, K. 2004. Catastrophic winter storm mortality of monarch butterflies in Mexico during January 2002. The Monarch Butterfly: Biology and Conservation (ed. by Oberhauser, K.S., & Solensky, M.J.), pp. 151–166. Cornell University Press, Ithaca, USA.

I have roughly 600,000 grasshoppers per ha, which appears to be outbreak levels reported by Kemp and Davis (1993: Oecologia 96:1-8).

I found that Australian plague locusts can reach 2 million per ha, though I don't have a good source for it. Zha et al. (2008: Photogr Eng & RS 74:619-624) indicated Oriental migratory locusts could reach 60 million per ha density.

Unfortunately, I'm having a difficult time finding published estimates of density for insect species; I simply do not know the literature well enough. Can anyone point me to credible sources describing the densities of a wide array of insect species? Are there reviews in the entomological literature on this topic?

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