I never witnessed this myself, but I know of an incident in which a cat was stalking a praying mantis in a friend's driveway. He told me he watched to see what would happen, and in true David & Goliath fashion, the mantis pounced at the cat, and the stupid cat ran away.
I respect those insects so much. If you catch them, and let them walk on you, you can actually pet them. They seem to like being stroked.