Answer:
I am a tale in childrens' minds. Though an illusion, I occur every night. I give them a fantasy, I give them a fright. What am I?
I am an insect half of my name is another insect. I am similar to the name of a famous band.
First you see me in the grass dressed in yellow gay; next I am in dainty white, then I fly away. What am I?
I jump when I walk and sit when I stand. What am I?
Drop me and the world will shatter. You can always find me where you empty your bladder. What am I?
Give it food and it will live, give it water and it will die.