I thought I'd try some as a pet to see for myself.
So far I captured three centipedes and they appear to be Lithobius forficatus. They are about 2" long, were hiding under rocks, and are extremely fast runners (I would have seven if I caught all that I saw). I used tweezers to capture them to avoid any nasty bites/stings.
Interesting notes for them as pets are they are predators and eat insects (similar to mantids in that regard). They are active at night and put on a interesting show of movement and tracking down insects.
No luck yet find millipedes, but I've found other insects for now, but I'll eventually find some.
Update - I forgot to mention how I have been getting away with all the new insect pets with my wife (who swore I'd never have any more "bugs" otherwise I'd be kicked outside with them). I simply tell her I brought them inside to photograph them, and then I "forget" to release them. So far I've gotten away with many lately for well over a week, and she knows about it and doesn't seem to care now that they are inside.