The wings sound like some kinds of dragonflies, which have doubled wings one behind the other. There isn't any other type fly or wasp I can think of that fits your desciption. Of course when you want to find a picture of one you can't... but this come close to one that fits your description.
Common Whitetail Male on Flickr - Photo Sharing! (http://www.flickr.com/photos/jenniferschlick/2611763068/ - broken link)
Common Whitetail Dragonfly on Flickr - Photo Sharing! (http://www.flickr.com/photos/jenniferschlick/3703274105/ - broken link)
Was your bug anything like this?
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