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
This is supposedly what we have here:
http://en.wikipedia.org/wiki/Hemaris