I always cultivate a few webs around my porch area - between that and some potted lemon balm plants, it does a noticeable job of keeping the mosquitoes under control.
Once we move to a more long-term place, I'll also look into building a bat house to help even more with that.
They are indeed gorgeous spiders.
@Streettrash: Rather than grasshoppers, I find leatherjackets/craneflies to be ideal; they're long-legged and light, so they get caught up easily. I've found that grasshoppers sometimes go right through the webbing.
Plus leatherjacket season coincides with spider season, and they're plentiful and stupid easy to catch. Just pluck 'em off walls by a wing (their legs pull off way too easily) and toss 'em in.