When insects communicate by sound, or use acoustic cues to escape predators or detect prey or hosts they have to localize the sound in most cases, to perform adaptive behavioral responses. In the case of particle velocity receivers such as the antennae of mosquitoes, directionality is no problem because such receivers are inherently directional. Insects equipped with bilateral pairs of tympanate ears could principally make use of binaural cues for sound localization, like all other animals with two ears. However, their small size is a major problem to create sufficiently large binaural cues, with respect to both interaural time differences (ITDs, because interaural distances are so small), but also with respect to interaural intensity differences (IIDs), since the ratio of body size to the wavelength of sound is rather unfavorable for diffractive effects. In my review, I will only shortly cover these biophysical aspects of directional hearing. Instead, I will focus on aspects of directional hearing which received relatively little attention previously, the evolution of a pressure difference receiver, 3D-hearing, directional hearing outdoors, and directional hearing for auditory scene analysis.