I'd be willing to try grasshoppers/locusts/cicadas/anything in that general area, as I imagine it wouldn't be much different to eating prawns (Shrimps for you heathens outside of Australia). Sure, it might taste different, but I don't see cracking open their shells and getting to the good stuff inside being much more off-putting.
As for cockroaches, though, no. No no no. No. No. Just no. f**k them. Kill them all, let God sort 'em out.