I've eaten chapulines, but never any of the other things mentioned on that page. I didn't really see the appeal of them, to be honest. They're covered in the same hot pepper mixture that's frequently found on peanuts, which I prefer, because peanuts don't have legs that poke your gums and throat as you chew and swallow.
What a great site.
This list of "notable mercados" would be great to take along if you're traveling in Mexico.