I have 6 cats and they react to birds by sitting on the windowsill "cackling" at them. The birds actually sit on the wire and taunt them.

Bugs are a different story. Shorty (the Munchkin) and Carly (the American Curl) LOVE to play with bugs. They won't kill them, but they torture them, walk around with them alive in their mouths, till they finally tire of them and eat them. Hey, it's protein from what I'm told.

Other than that, they haven't really been exposed to any other animals but cats.