Around here, sidewalks are good places to find dead insects (and earthworms). The only problem is I usually run into interesting things when I don't have a container with me. But, I have discovered that insects transported on my head under my hat normally arrive home intact.
While out jogging today, I found not one, but two sidewalk casualties, one dragon fly and one cicada, and brought them home, the usual way, under my hat.
As for earthworms, no, I haven't considered carrying them on my head (yet).