Nancy,
Well, my creepiest bug story is when, in Kenya, I had to eat live termites because the family I was staying with was having them. The termites had been seared in hot oil for a few seconds, enough to make their outsides crunchy but not enough to kill them. I've stayed away from anywhere I'd be forced to eat bugs ever since.
The other bug story is from China. This one is better told in pictures:
Hey, what are those things on skewers?
Those are scorpions! People actually eat those?
Thanks, I'll have some tofu instead!