What is the most compelling theory for why some cultures consider insects a delicacy and others don't?
In many ways, insects can play the role of either friend or foe. We tend to avoid those insects which are poisonous or are considered pests, but some cultures around the world regularly eat bugs. (Many more will resort to eating bugs in times of nutritional stress!) So what's the big deal? Why do some cultures treasure insects as a special snack, and others might feel nauseous at the thought of crunching on a bug? I think that in order to properly address this question, we must consider the impact geography and climate play in the development of cuisine.
In parts of the world where other forms of animal protein are scarce, eating insects is a great addition to the diet. Many species of insects like grasshoppers, beetles, and worms are high in protein and essential vitamins and minerals. When it comes down to terms of survival, you'd be silly to pass up a nutritious insect. Some cultures, like that of North Thailand, have so come to embrace the nutty flavor and crunch of insects that they are commonly sold as snacks. In China, which has a long tradition of discovering the medicinal properties of countless plants and animals, insects may be used for their therapeutic qualities in soups, stir-fries, and infusions in liquor. When one grows up in a culture where insects are thought to have special medicinal properties, he or she might come to consider insects a delicacy.
There are certainly a few benefits to eating insects: there's almost always lots of them, they require little effort to raise, they have minimal impact on the environment, and they're very nutritious for their size. Nonetheless, the general idea of eating insects comes with the risk of either a bad taste or ingesting poison. For a culture which has a proliferation of poisonous insects, it isn't likely that a tradition of eating insects would develop.
One of the main concerns expressed by those who are grossed out at the thought of eating bugs is that it might not be sanitary. I can only speak for myself, but I know that growing up in the United States, I was taught that bugs are dirty and associated with things like fecal matter, dirt, and decay. Even if someone were to present me with a cockroach which had been born and raised in captivity and fed exclusively on "clean" foods, I would feel grossed out at the idea of eating a bug with a reputation of being dirty! The same goes for critters like worms—we tend to think of them in terms of pestilence and spoiled food rather than a source of nutrition.
I think that the major factor in why some cultures eat bugs (and enjoy them) and others don't is environmental and resource distress. One may decide whether an insect is a delicacy based on its flavor, the efforts required in raising or harvesting it, or any special properties attributed to eating the insect. Again, all of this is in contrast to the rest of what is provided in the natural environment.