The Eat-A-Bug Cookbook, by David George Gordon
I loved this book! It has a variety of gourmet recipes for several different kinds of insects, as well as amusing coverage of the history of bug devouring. The writing style is engaging, and the overall book design can be described as nothing short of "purty". I especially liked the idea of using roasted crickets as party snacks (they are exactly the right texture for it--crunchy!).
Creepy Crawly Cuisine, by Julieta Ramos-Elorduy, Ph.D.
This book is extensive and well researched, with a multitude of interesting recipes. The materials for some of the recipes may be hard to find (Where the heck could you find half a pound of tree hoppers?!), but on the whole the recipes looked palatable and easy to prepare. Creepy Crawly Cuisine also contains photographs of bug recipes (the stink bug pate looks especially attractive), and tables listing the nutritive qualities of common edible insects. Definitely worth a look.
Beetles Lightly Toasted by Phyllis Reynolds Naylor
Consider yourself warned; this is a children's fiction book. In fact, I encountered it as a child, and this book was probably the one that started me off on my insect eating career. If you have younger relatives whom you wish to introduce to the world of insect eating, this would be an excellent choice.
Man Eating Bugs, by Peter Manzel and Faith D'Aluisio
This book is the most incredible book on eating insects that I have ever seen; it is not a recipe book, but a photo documentary of entomophagy around the world. The photographs are simply incredible...I have handed this book to several different people, and they have all had the same reaction: They open the book, say "Ewwww", and keep on turning the pages, saying "Ewww! Ewwww! Ewwwwww!!" at each consecutive page. Truly an impressive coffee table book.