I found a bug on me one morning upon awakening and became convinced I had bed bugs. After some googling, I built a cheap bed bug detector out of sugar solution and yeast, which produced a steady stream of CO2 for several days. Bed bugs are attracted to the CO2 we emit, and the detector lures them in, and then they drop into some soapy water for collection. After a few nights of nothing in the trap, I went back to the bug I had found that morning. I had wrapped it with a tissue and thrown it in a jar. On careful examination, it was not the right shape for a bedbug.

[1] http://www.bedbugcentral.com/bedbugs101/early-detection-tool...

[2] http://buymarijuanaseeds.com/community/threads/question-home...