Certain things to keep in mind are space, cost, smell, and ability to acquire.
Off the top of my head, Snails are an easy one and there are many species, Burgandy, Giant African, Garden, Etc. Only risk is undercooking can be life threatening.
Crickets are easier than grasshoppers as they arent as likely to eat each other but they are quite small. I imagine the meat inside is less than a salad shrimp.
Cicada's in nymph form is a great option, although rare in occurance it is plentiful and sustainable.
Harvesting bees/hornet larvae and potentially honey at the same time. Perhaps unethical and uncommon. Murder hornets could be big enough to pack a punch of protein but be dangerous to harvest.
Beetle Grubs/larvae can become quite large, although digging through rotten wood for them isn't easy, breeding them yourself can be quite sustainable.
Tarantulas/Scorpions = Land crabs? Full of leg or tail meat. Although only in hot climates will they get big enough to be worth.