I've always called them hummingbird moths. I saw my first one here in CO about 15 years ago. The danged thing buzzed me and it scared the living poop right out of me.

Officially, Hemaris (aka Hummingbird moth, Clearwing moth)


While I think this is more accurate to the one's I've seen, they say these aren't here in the U.S.:
http://en.wikipedia.org/wiki/Macroglossum_stellatarum

Macroglossum stellatarum, known as the Hummingbird Hawk-moth or sometimes the Hummingmoth, is a species of Sphingidae. Its long proboscis and its hovering behaviour, accompanied by an audible humming noise, make it look remarkably like a hummingbird while feeding on flowers. It shouldn't be confused with the moths called hummingbird moths in North America, genus Hemaris, members of the same family and with similar appearance and behavior. The resemblance to hummingbirds is an example of convergent evolution. It flies during the day, especially in bright sunshine, but also at dusk,[1] dawn, and even in the rain, which is unusual for even diurnal hawkmoths.[2] Its visual abilities have been much studied, and it has been shown to have a relatively good ability to learn colours.[3]
This is supposedly what we have here:
http://en.wikipedia.org/wiki/Hemaris
Hemaris is a Holarctic genus of sphinx moths, consisting of about 17 species living in the Holarctic[1], four of which fly in North and South America, three fly in Europe.[2] Their main host plants are herbs and shrubs of the Dipsacaceae (Teasel) and Caprifoliaceae (Honeysuckle) families. Moths in the Hemaris genus are collectively called Clearwing Moths or Hummingbird Moths in the US, and Bee Hawk-Moths in Britain.