Through some serendipitous website surfing in the summer of 2005 I contacted an American teaching English in Shandong province, China. He sent me both information on the use of insects as food there, and some of the foods themselves (most exciting, actually). This is his description of what’s available:
Live caterpillars [likely Saturnid?]
in the marketplace

I encountered these large caterpillars in restaurants of Shandong province, China on or about July 1, 2005. They are called “dou cong”, which means “bean worm”, I believe. They are prepared by frying, which vaporizes the inner organs and leaves a chewy caterpillar carcass. They have a mild taste and are consumed along with a variety of vegetables, noodles and seafoods. On one occasion they were served sprinkled with sugar.

The cooked results on the table

A typical Chinese lunch, including silkworm pupae

In early September I received the package, which included both pre-packaged food consisted and “home-made” stuff. The store-bought items are vacuum-packed silkworm pupae. The home-made items were caterpillars (of a Sphingid species, probably Clanis bilineata) and scorpions (quite possibly Buthus martensii) that had been purchased fresh in the marketplace, cooked, and preserved in jars of brand-name honey. There were also cicada nymphs, which were sent dry-packed.

Here are the caterpillars and scorpions on the plate:

My contact reports that these products, though seasonal, are readily available in the marketplace. He urged me to learn about the process by which they could be officially brought into the U.S. as the delicacies they are considered to be in China.