Well this is an easy post. The short answer is: Avoid insects, they are not kosher (see Deuteronomy / Devarim 14:19).
Simple, you might think, I don’t care for them anyway. Well – are you sure you are not eating insects? There are two ways that you could be. First, you overlooked them in your vegetables or fruit (a lot can be said on the matter, see e.g., the Star K guide for vegetable inspection or Failed Messiah’s Rabbis Ban Strawberries – Again). The solution to this problem is awareness and thorough washing. Second, some food additives are made out of insects (Non-Vegetarian Food Additives) and they cleverly hide behind the innocuous label "natural flavor". To ensure none of them are in your food, you would have to trust some supervision, either by rabbinic or vegetarian/vegan institutions.
The long answer starts with the fact that there are some exceptions to the rule, insects you are allowed to eat. This needs a source:
All winged swarming things that go upon all fours are a detestable thing unto you. Yet these may ye eat of all winged swarming things that go upon all fours, which have jointed legs above their feet, wherewith to leap upon the earth; even these of them ye may eat: the locust [arbeh] after its kinds, and the bald locust [sal’am] after its kinds, and the cricket [chargol] after its kinds, and the grasshopper [chagav] after its kinds. But all winged swarming things, which have four feet, are a detestable thing unto you.
(Leviticus / Vayikra 11:20-23)
This lists four types of locusts that you may eat. But before you run out to the meadows… only these four species of locusts are permitted. One of them has been identified to be the schistocerca gregaria, the most common variety in North Africa (Rabbi N. Slifkin: The Locusts Are Coming! Yum!). So unless you know how to identify this type of locusts, maybe you should refrain from eating them. As an aside: Locusts are not meat according to halacha, like fish they are parve.
Locusts have not played a big role on the menus of most kashrut observing Jews until in 2013 a swarm of a kosher locust species crossed the border from Egypt into Israel. This lead to quite a few culinary experiments, you can get a taste [pun intended] of it through these articles (Adventures in Locust Hunting, Eating locusts: The crunchy, kosher snack taking Israel by swarm). If you happen to come across some kosher locusts, here are a few recipe ideas: Locust Chips (French Fries), Honey Spiced Locusts, Moshe Basson’s locust pasta. Enjoy!