I only do yellow jackets. I don't mind paper wasps unless they build a nest somewhere that's a real problem, like an electrical outlet or the grill.
Given what yellow jackets can do to a hive, I'm sure the bees don't mind me doing away with them. There's a large wild hive two doors down from me and my yard is full of honey bees.
I also end up with a LOT of ladybugs and ladybug larva. Those are great for aphids.
I wish there was a good way to get rid of rose curculio. I understand there isn't much that's affective on them and they are so destructive to the rose buds.