I have a question. Mulch for what: landscaping, garden, flower beds?

Pine won't last long in full sun as it will break down as well as blow away, but can easily last a dozen years if somewhat protected.

Dust and sand are only going to get harsher as we dry out more in the immediate future. Crushed rock is good for ten to twenty years before it starts looking shabby, and then landscapers can come in and power sift it. Rake it lightly with a fan rake every month or two and it stays presentable.

Scorpions don't do mulch; either kind. Roaches can't handle rock heat. I've never seen a centipede in landscaped areas.

well, for planting beds. "crushed" rock -- as in crusher fines? not 1-2" rock (which is what is frequently used here).

Because that bigger rock does not do well with blowing dust and sand--my front yard is completely covered again and I just had it sifted in March. It's something I cannot handle/do myself which is frustrating the heck out of me. It's expensive to hire guys to do it for me, and I sure cannot handle doing that every few months.

"Pine won't last long in full sun as it will break down as well as blow away, but can easily last a dozen years if somewhat protected."

Breaking down is the best thing pine does - all that breaking down will improve the soil below it. And yes, it will attract bugs, because it's going to hold moisture. These are good things.

"bugs" are okay. swarming cockroaches are not. I have no clue what to do.

Instead of panic, ask people who know.

Suggest you contact your county's Extension Service office.
Use this map
http://www.csrees.usda.gov/Extension/

Here is a link that might be useful: locate your County's Extension Service office

panic! (flailing about) lol!

I have a nursery nearby that sells bulk compost, bark , wood chips; maybe straw. It's readily available -- I'm just . . . reluctant for some reason. I don't want bugs, nor the dust to cover it, nor something that will be hard to handle by myself.

Any material put down as mulch can create the conditions "bugs" like to live in, cool and moist with a fairly decent food larder nearby. Most of those "bugs" will be beneficial, although a few may be unwanted pests. While thingys like cockroaches and scorpion's are not really desirable others, such as the centipedes, are beneficial and eat other "bugs".
So, "does bark mulch attract bugs? Yes. But that is not a bad thing.

Well, it *could* be a bad thing! :D I'm fairly certain that carpenter ants came with my shredded bark mulch from a log home builder. The mulch was old, which I thought was good, but I noticed carpenter ants around after it was delivered so I used a lot of diatomaceous earth and they are gone.

I'll be getting more of the same mulch and will use diatomaceous earth again whenever I see the ants.

You would be much better off using wood chips as mulch rather than bark. Bark has a natural waxy coat of suberin that prohibits water absorption. Bark mulch also has other problems associated with its use as a mulch, but when broken down does have a decent utility as a potting medium. Wood chips, on the other hand, absorb huge amounts of moisture which are then slowly released into the soil system. Wood chips maintain soil temperature and provide superior weed control.

I live in a high desert environment - somewhat cooler temps but intense sun, single-digit humidity, and wind. Along with alkaline clay, clay/sand soils.

A good, 2-3" thick organic mulch does wonders, and would rank right up there as the key to successful gardening.

I mulch with pine bark (from firewood), compost, grass clippings and compost, depending on whats available when mulching season rolls around.

Sure there are bugs - sow bugs, small centipedes, and what ever else helps break down the bark. But I've never seen roaches or anything obnoxious. But its still a good idea to wear gloves :)