The link below is your best resource for identifying inset pest problems.

Jeri

Here is a link that might be useful: Baldo Villegas Bugs & Roses Web Site

Thanks! That is a good site. I don't see anything that exactly matches what I'm describing there, so perhaps I am right about winter moth, and hopefully that beetle isn't eating the rose.

Has anyone out there had winter moths attacking your roses?

I can't say about the rest, but your bug looks like a lightning bug. Could it be?

The brownish almost transparent marks, where the leaf has been eaten from the bottom, are caused by ROSE SLUGS.
Rose Slugs are the larvae of sawflies.
Some of the circles missing from leaves may have been done by leaf-cutter bees (who will soon be gone)
Some of it looks like the work of grasshoppers.

If you don't find exactly what you are looking for at Baldo's web site, feel free to contact him.
He is not only knowledgeable, but a very nice person.

Jeri

I believe the critter in the last photo is indeed a lightning bug/firefly. It's a predator.

I disagree about the lightning bug. I have these same bugs flying around my yard this time of year. I have seen them occasionally on my roses but have never seen them do any damage. Whatever they are, in my yard they are slow aimless fliers.

Thanks for all the advice!
I don't think that's a lightning bug either, simply because I've never seen a single lightning bug at night in my area. But I hope it is harmless!

Look in Baldo's good guy photos to see if that may be a Soldier beetle?
I found this caterpillar eating my rose buds.
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It does look similar to a soldier beetle! Let's hope. Thanks for the possible ID.

That's a big caterpillar...

I agree with Jeri that you've got both rose slugs and budworms. And grasshoppers. Leaf bees leave neat ovals, grasshoppers leave jagged ones. You probably have both and if you have chewed on opening buds that's grasshoppers more than likely too, BTW. I have way too many grasshoppers this year and I'm hoping I don't have all the budworms I had last year.

The rose bud you're showing with the little black dots, that's harboring a future budworm larva if it's not already in there.
This is not a very good pic but you can see that it starts on the outside and when I find these it's already too late. I go ahead and cut the bud off the rose just so I don't possibly any more roses on that bush. Not always true. I always open up the bud to see if I'm correct and there always is an itty bitty worm inside where that black dot was.
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Here is a link that might be useful: beetles

bodica, I feel fairly confident your caterpillar is a larva of one of the moths in the family Noctuidae (the biggest of the moth & butterfly families). Many of the Noctuids are significant pests and many of them feed on a wide variety of plants. I wouldn't be surprised if your caterpillar pest is in the genus "Spodoptera", but I'm not 100% on that.