In our circles, people tend not to have such a craving to eat bugs. Nevertheless, certain species of locust happen to be kosher. The Torah identifies them as those that have four wings that cover most of the body, four legs for walking, plus two upper legs with joints for leaping. One Talmudic opinion says they must also be known as a “chagav” (grasshopper – see Chulin 59a).
The rabbis of the Talmud identify eight kosher species, arguably including grasshoppers and crickets. However, while the Sephardic community has a tradition identifying kosher locusts, the Ashkenaz community follows the opinion of Rashi that we have lost our identifying traditions and therefore we refrain from eating locusts. (See Rashi on our verse, s.v. mim’al l’raglav.) So, no chocolate-covered grasshoppers for Ashkenazi Jews!
The reason underlying this mitzvah, as for all the laws of kosher food, is to protect us from internalizing things that are spiritual poison. (The actual prohibition against eating non-kosher locusts will be stated in Mitzvah #471, in parshas Re’eh.)
This mitzvah applies to both men and women in all times and places. It is discussed in the Talmud in tractate Chulin (59a and 65a) and is codified in the Shulchan Aruch in Yoreh Deah 85. It is #151 of the 248 positive mitzvos in the Rambam’s Sefer HaMitzvos. It is not listed in the Sefer HaMitzvos HaKatzar of the Chofetz Chaim.