This is a scorpionfly, which is not a fly at all, but a member of one of the "minor" orders of insects called the Mecoptera. The order is considered a minor order because there are so few species--350 worldwide and 66 in North America.
Compare that with 23,000 species of true bugs worldwide, or 4,500 species in North America.
Or compare it to the beetles--290,000 species worldwide, or 28,600 species in North America.
Anyway, consider yourself lucky if you are able to see one of these. I just think they look neat.