Let's examine insects first. One reason insects are so small (OK, if you have a fear or phobia for a particular insect, it doesn't look all that small!) is that their exoskeleton structure is not effective for supporting great weight (crayfish also have exoskeletal structure, but they live in water, which helps support added weight).
So then why do insects have exoskeletons? It may have something to do with surface to volume ratios. As surface area doubles, volume triples. Smaller creatures have a greater surface area to volume ratio, but as creatures increase in size, the ratio quickly decreases. What this means for small creatures is that they have greater water loss, as well as heat loss. This is why children can dehydrate and become hypothermic much easier than adults (of course this works in "reverse" as well: larger, heavier people overheat easier than thinner people).
An insect's exoskeletal structure helps insulate and "waterproof"it; this is how it overcomes the surface to volume ratio problem. However the exoskeleton helps reinforce upper size limitations on insects - to grow in size, an insect must molt or shed its exoskeleton in order to secrete a new one. Since the insect needs the exoskeleton for structure, and any growth must occur within it - thus it can not be very large when it sheds the exoskeleton. Of course, if the insect undergoes metamorphosis - the transformation of a larvae into a mature adult - major changes can occur.
Even for vertebrate creatures, there are limits to what biology can support in terms of the musculature needed to hold up great body weight. There is also a need to be able to rid the body of heat, since the surface to volume ratio decreases dramatically as creatures attain very large sizes - it is difficult to radiate out inner heat rapidly. This is why various dinosaurs grew large plates on their backs: they essentially operated as radiator fins. Of course, creatures living in water can more easily obtain larger sizes since the water aids in supporting the weight (buoyancy).
In addition, a large terrestrial planet may also affect the development of avian creatures. I think, though, this question is more difficult to answer. A heavier gravitational field would be harder to work against, requiring more muscles, more energy. The lighter the creature, the less weight it has to try to get airborne. Since we've seen how volume triples when area doubles, we can quickly see that if you double the size of an avian creature, it will triple in mass. However, birds have evolved ways around this. Having larger wingspans help develop more lift, but also having air spaces in their bones helps reduce their mass. This however weakens their bones to a degree, and since muscles need to be connected to the skeleton (kinesiology - mechanics, physics, of biological movement), weaker bones mean a lower limit to muscle strength. A lower limit to muscle strength means a lower limit to the weight that can be lifted into flight.
However, a thicker atmosphere might make up for some of that heavier gravitational pull by making it easier to acquire lift. Also, creatures that glide more than they actually fly, may be able to attain larger size since what they need is a large wingspan to float on the air or to catch updrafts with. Such creatures may tend to climb up large trees or cliffs and leap off to glide, reducing the need to power themselves into flight. Once launched, it would require less energy to stay aloft. They may have large thin membranes for wings since such structures would be very lightweight. It may even be feasible that some could develop bladders where they produce and store helium like the swim bladders in a fish, which are gas or air filled bladders which controls the fish's buoyancy (and for some even helps them hear) .
So a sentient alien from a very large planet may tend to be small in size, especially if they come from a warm planet with heavy gravity. I would doubt they would be insectile creatures, as insectile creatures on a very heavy planet (especially a warm and/or dry one) would have a harder time with large sizes than those on Earth. Not to say such sentient alien creatures as the insectile Xendi creatures from Star Trek: Enterprise are impossible, just that they are highly unlikely (maybe a very humid Earth sized planet could somehow produce one). Thus, I think heavy planets would tend to favor vertebrates of some sort, whether terrestrial or aquatic.