First of all, your party sounds awesome! My son is 9 and wouldn't want to leave!
I try to avoid traditional goody bags. My son loves to get them in the moment, but they are forgotten as soon as he gets home.
With your theme, I'd instead give a small "gift" to each guest . . . you could probably do it for what you'd spend on bags of stuff. You can still put them in a bag . . . you could use brown lunch bags and draw different bugs/fish on them.
Here's what I would do:
1. Book on bugs. Or a collection of printouts from the Internet of bugs/fish/creatures common to your area (would be less expensive than a book).
2. Magnifying glass and jar to store creatures (that they can later let go). I'm thinking plastic jars might be better for the safety factor . . . collect as many plastic peanut butter jars (providing there are no allergies), run them through the dishwasher, and bang some holes in the lid. In the jar, I'd print a list of bug catching "tips."
3. small tablet and a pencil for recording their finds/sketching. You can get these in a bug or fish theme at a party store or just use plain ones.
**maybe 2 and 3 could be given to them at the beginning of the party so they can use them during depending on what you have planned**
4. for the "fun" factor, I'd throw in a bag of goldfish and maybe a couple gummy worms.