The practice of eating insects is called entomophagy.
Most insects are edible. According to eatbug.com, there are 1,462 recorded species of edible insects. And they're quite nutritious. For instance, 100 grams of cricket contains only 121 calories, less than half of beef. A cricket contains only 5,5 grams of fat, compared to 21,2g of beef. Beef contains more protein (23,5g - a cricket 12.9g) but the 100g of cricket also contains 5,1g of carbohydrates, 75,8 mg calcium, 185,3 mg phosphorous, 9,5 mg iron, thiamin, riboflavin, and niacin.