Very interested in trying it as well. I might start with the particular creepy crawly that scares me the most – scorpion. In China, scorpion on a stick is common. In the United States, a few candy shops sell what are known as scorpion suckers. They're also for sale online.
The concept, essentially, is a scorpion sealed in candy coating. Strikes me more as a novelty than anything, the taste probably comes second to the fact that you're eating a lolly with a scorpion in it.