The two appearances of a fly in Breaking Bad (“Fly” and “Gliding Over All”) are both in relation to deaths that Walt is responsible for, but trying to keep hidden from Jesse: Jane and Mike. Deaths of people Jesse cares about deeply. Walt keeps his secrets, but his guilt manifests itself in the form a pesky fly.
In “Fly”, only Jesse’s forgiveness can kill the insect: “It’s not your fault, it’s not mine either, it’s nobody’s, not even hers.” Even if undeserved, this puts Walt’s worries — and Walt himself — to rest. The fly dies, he is finally able to sleep.
Jesse is equated with bugs a couple times: the beetle in the beginning of “Peekaboo”, the tarantula in “Confessions” (the same scene when Jesse finally voices his suspicion about what really happened to Mike). And on two occasions, the fly; reminding Walt of his sins, silently placing blame.