Three body parts that insects have making them different from mammals are exoskeletons, antennae, and jointed appendages.
Some insects have a bony layer on top of their skin which is an exoskeleton. Mammals have their skeletons on the inside while the insects have it on the outside. It is a layer of protection for insects.
Many of the insects have this body part, usually in the form of long stick-like sprouts coming out of their heads. None of the mammals have this feature since they use ears instead. Antennae are like ears for an insect that help them move around and sense other animals' movement.
Some insects like the Preying Mantis have this feature. Their legs are jointed and can be used for locomotion since they do not have any skeletons allowing them to move their legs freely and in any position. No mammals have this characteristic.