Yes, most insects can hear. Insects use sounds to communicate with other insects, and to navigate their environment. Some even listen to the sounds of predators in order to avoid being eaten. Sound is produced by vibration, and insects hear by collecting and interpreting the vibrations in their environment.
Some insects have a structure/organ known as a tapetum. Which acts a bit like our ear-drums, registering sound waves (air displacements). But I’m just a first year biology student so for more insights, Google is most likely your better friend.