Mexico consumes includes a wide variety of insects. Over the past 24 years I have traveled there regularly and encountered (and eaten) them in stalls, roadsides, markets and restaurants.
-escamoles (ant larvae)
Quite good! Nice rich and broad flavor. Reminds me of some Japanese sensibilities in food. A bit pricy in Mexico City.
-gusano de maguey (actually two species of insect)
very tasty. Eaten live (be sure to bite the head off so it does not perforate your intestines) Exceptionally good blended in salsas (without cumin, of course
) Also good toasted. Added to salt to eat after a shot of tequila.
-chapulines (grasshoppers) both large and very small.
I like the small ones that do not have large and crunchy legs. The small ones come with a number of other insects mixed in.
-Wasp (Vespidae) larvae
The entire paper nest is held over a fire. The toasted larvae are then picked out with a toothpick. One of my favorites.
The only one I still cannot bring myself to eat is:
-jumiles (Hemiptera, stink bug) sometimes eaten live. Have seen them in Taxco.
There are surely many more. I have not yet encountered big grubs. The thought of eating them, would probably cause me some stress! Another would be some large acuatic true bugs (also Hemiptera.) Eating one of those might be a stretch.
Surely other TC members have good insect eating stories.