Why is it I have no problems eating shrimp or lobster, but the thought of insects disgusts me? Shrimp and lobster are crustaceans which are arthropods just like insects.
I find oysters disappointing though, especially for their high price. They're just textureless, wet salty things.
French people also eat snails. With truckloads of garlic, to mask the dirt taste, they're quite nice to eat too.
I remember when I was little, I enjoyed fish- but my family once visited a fairly authentic Chinese restaurant, and ordered fish which came with the head and tail attached... I had such a hard time eating any with those empty eye-sockets staring at me.
You can even extend this reasoning to most delicacies of the sea, clams and oysters don't look any better.
When eating shrimp and lobster, you are typically eating the processed muscle mass (and shell, if you are into that), rather than the whole animal in one bite.