I haven't tried them, but I hear that Huhu grubs are delicious, and taste a little like peanut butter.
I have heard roaches taste like cashews. You don't eat them who but boil them in salted water and peel them like shrimp or crayfish it is usually done with the larger ones in SE - Asia. There is a part of you that wants to eat roaches now.
Pshaw! A weta's just a funny-lookin' cricket. Even the big ones are barely bigger than Oklahoma grasshoppers.
That is a pretty big weta, I'll give you that. The big ones are rare, though. There are littler ones all over the place - cricket-sized ones are very common around here in Auckland. I've seen grasshoppers well over half that size in OK - those bastards hurt when you smack into them when you're riding a motorcycle.
And just to return to the subject - wetas taste nasty, apparently. Bear Grylls did a survival-theatre show here, and he got some schmucks to eat wetas. They all said it was one of the foulest things they'd ever eaten. Edit - found it : http://www.stuff.co.nz/dominion-post/news/4725261/Bear-Grylls-eats-weta-and-wishes-he-hadn-t