Why insects are so energy-efficient while flying?
Insect flight muscle is capable of achieving the highest metabolic rate of all animal tissues, and this tissue may be considered an exquisite example of biochemical adaptation.

Locusts, for example, may (almost instantaneously) increase their oxygen consumption up to 70-fold when starting to fly.  In humans, excercise can increase O2 consumption a maximum of 20-fold, and for birds in flight the figure is about 10-fold (Wegener, 1996; Sacktor, 1976).

As Wegener (1996) has put it (in his definitive paper):


  The aerobic scope (the ratio of maximal to basal rate of respiration) of insects is unrivalled in the animal kingdom


Flight is powered by ATP hydrolysis, and these impressive metabolic rates are achieved by very effective control of ATP hydrolysis and regeneration.


 Metabolism is aerobic, thus allowing for much more efficient ATP production from hexoses (as compared with, say, anaerobic metabolism).


 Flight muscle may account for up to 20% of body mass.

 In insects, haemoglobin and myoglobin are absent. Instead, gaseous O2 is transported to the tissues by a system of tubules and deposited so close to the site of consumption that (seemingly) it may reach mitochondria by diffusion.  

Locusts fuel flight by burning sugars in the early stages, gradually changing to use lipids as fuel. (In bees, flight is totally fuelled by hexose consumption). 

This is achieved by effective control of glycogen breakdown and glycolysis, by modifying the activity glycogen phosphorylase (glycogen breakdown) and phosphofructokinase (PFK), a key control enzyme of glycolysis. 

There is an enormous literature on these topics, but suffice it to say, in the case of glycolysis, control is very efficiently achieved by allosteric regulation of PKF, where fructose 1,6-bisphosphate and fructose 2,6-bisphosphate play key roles (see Sacktor, 1976).

This allosteric control very effectively allows glycolysis to be (almost instantaneously) turned on and operate at a maximum value, and to be (almost instantaneously) turned off.


References

Wegener, G. (1996) Flying insects: model systems exercise physiology
Experientia May 15;52(5):404-12. (See here)

Sacktor B. (1976) Biochemical adaptations for flight in the insect.
Biochem Soc Symp. 1976;(41):111-31. (See here)