Reddit mentions of The Book of Beetles: A Life-Size Guide to Six Hundred of Nature's Gems

For beetles north of Mexico, I recommend the old favourite, Peterson Field Guides: Beetles of North America. People who complain that the book should have photos instead line drawings don't know what they're talking about. Line drawings are superior for identification because diagnostic traits are more visible. The purpose of a field guide of identification, not to a pretty coffee book (if you want a pretty coffee book, The Book of Beetles is my favorite, and I have it in my living room at the moment).

For insects in general north of Mexico, I recommend the counterpart from the same series.

If you insist on photos, I recommend the National Wildlife Federation Field Guide to Insects and Spiders & Related Species of North America (which, by the way, was written by a member of BugGuide.net). Since it has photos, I'd recommend it for beginners. Once they feel more comfortable with insect taxonomy, they should add the Peterson Field Guides to their collection. Avoid the popular Audubon series because it values pretty photos over practicality.

The Peterson Field Guides are great because they provide keys, diagnostic traits, similar families, collecting methods, and a plethora of amazingly detailed line drawings (and color slides). They also have great introductory material. The taxonomy is outdated, but it's not a big issue when you have online guides, like BugGuide.net, that keep their taxonomy current. The more important takeaway is that these guides will quickly teach you insect taxonomy, and you quickly develop a big-picture sense--that is, the diversity--and a granular sense--that is, the subtle difference between similar clades.

As for "state by state" guides, I have the California Natural History Guides: Field Guide to Beetles of California. There aren't line drawings like those in the Peterson Field Guides, but you do have some photographic slides in the middle section. For this, I would only recommend the book for those with enough familiarity with beetles.

Like you said, "the scope of insects is way too huge for a simple, small field guide." Many reviewers don't understand this, and complain about the lack of specificity. To satisfy their specificity, you'd probably need a guide at the city or county level (without exceeding a million pages, and assuming an entomologist is willing to take on that task LOL). Insects are so grossly misunderstood by most people (that is, most people compare the taxonomic scope of insects with that of let's say, mammals, which is like comparing travel guides for the Vatican with that of Russia--or the United States), you are better off ignoring most laymen reviews if your goal is to actually learn.