Mirza Beig masterfully plays with Unity shaders, and this is one of the most breathtaking. He made a shader that turns Unity's default quad into an animated butterfly, which can be instanced as thousands of particles with trails.
"An advantage to using particle systems is that you can control the spawning and behaviours for things like butterflies (and fish, birds...) easily. Vertex streams allow for properties to be read/used in the shader," he added.
You can even change the particles however you want.