The Bogong moth, Agrotis infusa, has a nocturnal lifestyle and migrates from the Darling Downs in southern Queensland [Australia] to the Snowy Mountains in southern New South Wales where, in a single cave several hundred thousand of Bogong moths can aestivate, a form of hibernation in the summer during the dry period. After summer has passed the moths emerge again and migrate back to their breeding grounds in Southern Queensland. After laying eggs they die and the next generation repeats the migratory cycle. Hence, these moths find their way to the caves without any previous experience. How they manage this impressive migration is yet unknown
Source : Thesis, Liv de Vries Department of Biology, Lunds University, Sweden
The paper cited above suggests the idea that, as the nocturnal moths can't be using the sun to navigate the 900km journey, they may instead be using an internal biological magnetic compass.
Also see : Monarch Butterfly migrationplugin-autotooltip__plain plugin-autotooltip_bigMonarch Butterfly migration
"Monarch butterfly migration is the phenomenon, mainly across North America, where the subspecies Danaus plexippus plexippus migrates each summer and autumn to and from overwintering sites on the West Coast of California or mountainous sites in Central Mexico.