Cicada: The Other, Other White Meat discusses

the hard slog of the enterprising American entomophage -- the eater of insects. In many parts of the world, people ingest bugs with regularity and even delight. In Western countries, insect-eating triggers the gag reflex.

Is eating live insects a bad idea? cites Tom Turpin, an entomologist at Purdue University:

Turpin says he is prone to a spot of entomophagy (eating insects) himself, mainly as part of demonstrations to students and the public. 'Each insect is different but as a package they probably bring a better nutrient balance than almost any other single thing you could eat,' he claims.
And the taste? 'Mealworms have a taste very closely associated with whatever they've been eating,' Turpin explains. 'But take them off their food for a few days so you can really taste the mealworm, and then frankly I can't describe it.'

According to FDA/CFSAN Defect Action Level Handbook, there are present in food

Levels of natural or unavoidable defects in foods that present no health hazards for humans

(via Insects in Your Everday Foods, which exerpts the mouthwatering insect details. Geez, they left out mold, rodent hairs, mammalian excreta, and pus pockets. Well, some people like pus pockets.