Flying insects employ a vast array of sensory modalities to coordinate complex aerial maneuvers with incredible speed and acuity. One central feature underlying this is their ability to rapidly acquire and process information about rotational motion. In Diptera (flies), gyroscopic sensing is accomplished with halteres, organs that are derived from hindwings. In Lepidoptera (moths and butterflies), antennae have been recently suggested to serve this crucial function. Here we review the biomechanical and sensory aspects of these biological gyroscopes. We focus on past and ongoing research to understand how the physical and physiological aspects of these inertial guidance units interact to determine their functional performance.