Note: I'm an avid outdoorsman (hiking, camping, etc.) and am basing this on my personal experience in the New York-area outdoors community.
I understand "insect repellent" to be a hypernym that includes "bug spray" as well as permethrin (which should never be sprayed directly on someone), citronella candles, gels, etc. (Note that it is common to say "insect repellent" for substances that also repel ticks and other small pests.)
Thus, if we're talking about something that we spray on ourselves, we usually say "bug spray". Otherwise we often say "insect repellent" or (less frequently) "bug repellent".