For an excellent overview of pests and diseases of the rose, see Baldo Villegas' Bugs and Roses http://members.tripod.com/buggyrose/
Kansas State Extension www.oznet.ksu.edu/Entomology/extension/visual.htm
American Rose Society www.ars.org/explore.cfm/pests/
Mark Huss (Northeastern US) Rose Pests and Spraying mhuss.com/dcrs/Spraying.html
For information on beneficial insects,
The Bug Lady www.thebuglady.ca/
Cornell University - Biological Controls www.nysaes.cornell.edu/ent/biocontrol/
Keep in mind that the type of insect pests will vary widely with location. Your best source of information for your specific area is your local Rose Club or Society, and your local University or Agricultural Extension office.
Also rember: a healthy rose can shake off all but the worst disease and pest infestations. A stressed rose, on the other hand, is a disease magnet. Attend to the basics - make sure your roses have good, biologically active soil with adequate levels of humus, minerals and nutrients, that they are watered deeply as frequently as the weather dictates, and that they have been situated and pruned appropriately for the rose variety and to promote good air flow through the bush.