The Cicada Killer is considered a beneficial wasp.  It is more of a nuisance.  The male Cicada Killer guards the mate's nest for a few weeks in the late summer, and doesn't even possess a stinger.

 

The female Cicada Killer does have a stinger, but will not hurt you unless you step on her or touch her.

Beneficial Insects

• OSU Extension
• How to protect and increase pollinators in your landscape