Yes, its a behavior of traditional indigenous peoples.
I read in some papers of Brazilian researchers (attached below) and Coleoptera's larvae seem to be the most frequent on the menu these people. But even today I like to eat a kind of ant, "tanajura" (fertile females of Atta spp.).
COSTA-NETO, Eraldo Medeiros. Insetos como fontes de alimentos para o homem: Valoração de recursos considerados repugnantes. INCI [online]. 2003, vol.28, n.3, pp. 136-140. ISSN 0378-1844.
In Mexico they are part of diet since prehispanic times. The most consumed are: Escamoles (ante eggs; insect caviar), chapulin (grasshoppers), maguey worm (very expensive), jumiles (stink bugs).
Here in northern Namibia the Mopani worm (actually a caterpillar) is popular food and seasonally sold along the roads in areas with Mopani tree woodland.
In Thailand different kinds of insects are eaten. I think that is the leading country in the world to commercialize edible insects. http://www.iufost.org/iufostftp/Revd%20Sirithon%20Chapter%2016.pdf
Especially during their irregular outbreaks, desert locusts are considered a great delicacy in Yemen (and posing major problems with parallel eradication campaigns), whereas at the onset of rains in Northern Cameroon and Chad (where I live at the moment) (male) termites flying out are much sought after. AS far as I am aware off, little to none has been published on this.