In northern Thailand on a local market, found ant-egg sold on banana leaves, ate them raw, delicious... But I think it is a seasonal food, only a few month per year I think.
I heard that in Mexico they have something similar called "escamoles", but maybe a bit pricey I heard, still...
Waxmorms: amazing. The ultimate raw, live food: they live normally in bees nest (they are a pest actually), and taste fat and of honey. They do not bite, and apparently, it's possible to farm them your self... pet shops for lizards etc sell them, but for human consumption I'm not sure.
Sago worms/palm weevil: have only tried dried/cooked ones from internet order. Very expensive, you only get a few. Nice and fat worms. Apparently people eat them in many different continents, South america, Africa, asia (borneo, papua n guinea, malaysia, south thailand) these are my favorite grub I would say... But have still not tasted fresh one, but looking forward to it...
If your into more crunchy stuff, grasshoppers ( the biggest ones) are very tasty. I am not a fan of crickets, and there 's one insect I absolutely dislike: silk worms (they are actually reared for silk production).
Bamboo worms (northern thailand, china) are also real nice, but I've only eaten them packaged and deep fried, can't find them fresh on the market.
maguey worm from Mexico, (the type used in tequila) is supposed to be very tasty, never tried it, but looking forward to it as well.