Pretty much all bugs and creepy crawlies are edible, and very nutritious too. Avoid any which smell bad, are already dead, or produce a rash when handled. They're fine to eat raw, but more palatable when cooked, - boiling is safest, but you can roast them on hot stones from a fire too. Remove the legs and wings from large insects to avoid irritation of the digestive tract. Do NOT eat the skin of a hairy caterpillar, do as arildno suggested and squeeze out the goodness! Similarly, remove the armour from big beetles before eating. Ickle tiny insects can be ground up into a paste, or roasted and ground into a powder to thicken soups and stews.
Never collect insects which are feeding on carrion or dung, and avoid grubs feeding on the undersides of leaves; use them as fish bait instead. Very brightly coloured insects and caterpillars often have poisonous skins/cases.
Termite mounds: Food goldmines. Break off pieces of the termite mound, and dunk them in water to drive out the termites. You can also put pieces of termite mound on a fire to make smoke to keep other biting insects away! Alternatively, suspend some termite mound above a fishing spot; falling termites will attract fish to the surface. Termites' eggs are also nutritious.
Bees are edible; honey is too but is hard to collect: Attack bees' nests at night, - make a smokey torch from wet grass, and hold it next to the opening of a nest to fill it with smoke. Then seal the hole. Wait a bit, then crack it open to reveal your dinner of bees and honey. Remove legs, wings and sting before eating. Again, boil or roast to improve the flavour. Eat the honeycomb too, it's gorgeous. Make candles or waterproofing out of the wax. Use the smell test and standard plant edibility test for honey, - it's not guaranteed safe.
Don't bother pursuing wasps or hornets, it's not worth the risk.
Cook ants for at least 6 minutes to break down their poison, then tuck in.
Eat slugs, snails and worms FRESH: Either starve them for a day, or place them in a strong saltwater solution for 10 minutes to clear out the guts. Then boil for 10 minutes with herbs to make them taste nicer.