Insect "feelers" are called antennae. "Feelers" is the wrong term for these organs because they don't actually feel anything. Antennae are covered in olfactory openings that allow the insect to detect odors in the air.
Some insects use their antennae to detect humidity in the air, while others--mosquitoes for example--use theirs to detect sound. Flies use their antennae to gauge how fast they are flying. Insect antennae differ greatly from insect to insect, but they all have three basic sections. The scape is the base of the antenna. The pedicel is the second segment on the antenna, and the flagella is used to refer to all the remaining segments. Individual sections of the flagella are called flagellomeres.