What sort of bug is this?

That is the nymph of a damselfly (zygoptera)

Cool fact about damselflies an dragonflies (anisoptera)

the damselfly nymph is predator, and the adult damselfly is vegetarian and for the dragonflies is the opposite, the nymph is vegetarian and the adult is predator.

I was looking at the book again and the mayflies and the damselflies look very similar but i found this,

mayfly nymphs can be recognize by the leaflike gills or plumose gills along the sides of the abdomen.

in the picture I can't not see the gills so it is not a mayfly.

Mayfly nymph

http://swittersb.files.wordpress.com/2008/08/mayfl...

Damselfly nymph

http://flyfishingthings.com/Categories/How_to/dams...

Wow... someone cited Borror and Delong but neglected to actually check what it has to say. It actually says in very plain and clear language that all life stages of the entire order are predaceous. Your insect is a mayfly nymph (ephemeroptera). It's hard to get a more specific ID than that because the picture quality isn't spectacular, but I think the middle tail filament is shorter than the side two... if I remember right that's a trait most common to Baetidae (the general body shape matches too). If not Baetidae, then probably Ephemerellidae, Metretopodidae, Oligoneuriidae, or Siphlonuridae. I did my best to key it out from the picture, and I'm most inclined to go with Baetidae.

If it has two long extensions from its abdomen then it is most likely a damselfly nymph--that's what the picture appears to show. If it has three extensions then it is a mayfly nymph. Both of these nymphs become flying insects.

It is a nymph form of some flying insect, probably a mayfly or a damselfly.

It's a mayfly nymph (Order Ephemeroptera).