Don't know about spiders, but as for grasshoppers, crickets and locusts, gently swat with clothes to kill, remove anteannae, wings and leg spurs. Roasting is the best as it kills potential parasites and they taste best that way (as well as helping to easier powderize all that chitin).

For crickets, yes, when fried they just become salty and crunchy. And you can eat the whole thing. Which is great with beer. :)

For spiders, I've only had the larger ones. So there is actually some "meat". And the taste reminds me of crab.