I've eaten ants, termites, #witchettygrubs and grasshoppers. Out of all of them, I liked the grubs (roasted) the best -- I called them "desert scallops", which my Arrente friend (who taught me how to find the grubs) found amusing.
Two rules of thumb to keep in mind:
1. If it's brightly colored, it's probably poisonous.
2. You're eating whatever it has been eating. (Which is why one should avoid slugs and snails in the wild -- they like to munch on poisonous mushrooms).
9 Bugs to Eat in a Survival Situation (And 4 You Want to Avoid)
If you’re stranded and just finished your last granola bar, you might want to give one of these insects a try.
by Bill Heavey