Insects are very nutritious. IIRC, crickets, grasshoppers, worms, etc. are nearly 90% protein. Rip off legs and wings if you like, or any other hard, chitinous, fibrous parts that would just be crude fiber, anyway.
Crickets, IMO, are particularly tasty and remind me a bit of black walnuts. I snag and munch them anytime, just because (and to get a rise out of whoever happens to be nearby
) I fried some in an omelet once, which wasn't great, but it was edible.
The tips on which ones to eat given previously are good. I can think of one exception to the odor rule: squash bugs smell foul, but actually taste like Green Apple Jolly Ranchers. If you're unsure on how it'll taste, just take a little nibble instead of chomping the whole thing.
For more info, Google is your friend
HowStuffWorks "How can I tell if a bug is edible?"