Never intentionally!
But my friends in college would make chocolate covered crickets every now and then. But it was more sort of a novelty to sus out who was cool enough that they would try them out. I hear if they're fried really well, it's just like eating chips, but the idea of eating a whole bug just does not sound appetizing to me =( Maybe you could trick me if it was ground into some sort of insect-meal or flour and then baked into some other form.
But some part of me thinks for the environment, we should eat more bugs! A good source of protein, and there are so many more bugs than humans, and so it would be a sustainable source of food.... if only we could get over the 'ick' factor