There is a growing consortium (including VectorBase that I am a co-PI and scientific manager of) to keep track of this using a wiki. Details here: http://arthropodgenomes.org. This is also tied to the effort at Kansas State that hosts the Arthropod Genomics symposium that is another good place to learn this info, and a lot of the folks involved in this list so far are either members of the steering committee or advisors to it.
On the side of vectors, we expect the body louse (Pediculus humanus) to go live early next year. There will be 14 Anopheles sequenced and a few more in the works. The europeans will sequence Aedes albopictus. Two sandflies have been started. Black fly is often mentioned but I don't have details.
I also know a variety of Lepidoptera are in various stages of completion, but I doubt if those groups will be entirely willing to share with the larger community. I don't even know for sure which ones are in the pipeline besides those mentioned at ESA.