This was my mid afternoon snack today. Tore the head off and tossed it down the hatch (just wathc the pinchers) -
The general rule of thumb on eating insects and bugs is neutral/ earth tone colors are mostly safe. White browns grays greens. stay away from reds blues etc.
Lastly Partial list of bugs and worms worth eating - http://edibug.wordpress.com/list-of-edible-insects/