No, it isn't a cockroach! That'd just be gross.
Steamed silk worm.
After church on Sunday some of the ladies went out to the market. There is an awful-smelling stand that sells these by the cupfuls (I walk passed it frequently on my market trips but never stop). It's a snack here in Korea. We tried them and I can testify they taste even worse than they smell. But if you don't try it, you can't knock it, right?