I have this question running in my mind for a long time, Do insects have brains?

I was sitting at this coffee day outlet and saw the above insect killer at work, killing flies and anything which goes nearby (it almost tried to kill me when i stood next to it). Thats when the question popped to me, i was sitting there and looking at all those flies taking the plunge. When you know it's gonna kill you, why go near it, are the flies dumb?

Thats when i realised that cigarettes and booze also kills us humans, and we are no smarter from the fly which died just now.