I've not seen one and given that there are some 8,000,000 species of insects there probably is no good way to do that. There are many sites that have lots of information available about each species of insect, some even with very good pictures that can be used to confirm the identity, but you need to have a pretty good idea what you do have to even find those.
I have a fairly large, thick book about beetles, and have seen other books on many different species, and some of my books about plant pests and diseases have pictures of a few of the insects, but again you kind of pretty much need to know what you are lokking for to find it.

There are many such web sites, ckbozeman. After all, you are looking for common insects in the vegetable garden, not images of every insect on the planet. ;-) I'll link you to a couple of such sites, but it will be up to you to find some others. The 'edu' sites are likely to be the most helpful.

Another useful tool for learning about the insects you might see in your garden is a decent field guide. Though limited in the numbers of arthropods they feature, they can be an excellent way to learn the behaviors of particular insect orders, spiders, etc. The Audubon Society Field Guide to NA Insects and Spiders is one that I recommend often as a good resource for those interested in learning more about the insects they find around their homes and gardens.

http://entomology.unl.edu/images/beneficials/beneficials.htm

The above link has several images of beneficial insects and other helpful critters, as well as pathogens that affect insect pests.

Here is a link that might be useful: Click here

Thanks for the links, Rhizo.
Indeed helpful.