Some countries do this out of desperation rather than by choice. Some people do it for the novelty or thrill to say they did it. However, we all eat insects on a regular basis without realizing it. Many insects get into our processed foods. So much, that the FDA has what they consider an "Acceptable level of filth" for different foods that are sold to the public. Personally, I avoid eating insects.
Just for the record: It is estimated that we eat about 10 pounds of dirt in our lifetime.