ya see these things in Australia are called "Witchetty grubs" & the natives love em. Big part of their diet before "colonisation" after all much of Aust is desert so these are a high source of protein as the man say.

I haven't had 1 myself but apparently their taste depend on the wood of the tree they been feeding off. They meant to taste "like almonds and when cooked the skin becomes crisp like roast chicken while the inside becomes light yellow, like a fried egg." (http://en.wikipedia.org/wiki/Witchetty_grub)

Also, as far as I kno ya meant to hold the head bit & eat the rest so the innards don't squirt out.