Raising mealworms (Tenebrio Molitor) is quite easy and recommended for the beginner. Simply take a flat plastic tub with a lid, fill it with an inch or so of oats or other grain, put in a slice of potato, carrot or other hard vegetable as a source of water, and then deposit your mealworms! Make sure to replace the slice of potato fairly frequently, otherwise you will be growing mold instead of mealworms.

The mealworms you get at the store are in their larval stage, and it may be a few months before they mature into beetles, so be patient. 100 mealworm larvae is a good colony start if you are not going to be eating them very often. If you wish to make insect protein a regular part of your diet, you can obtain mealworms in bulk from reptile food supply companies and start a large colony (5000 or more is the way to start in this case).

If you have an ant problem in your area, you should float the mealworm tub in a dish of soapy water to prevent ants from infesting your grain. However, unlike crickets, mealworms are unlikely to escape unless you are hideously careless.

Crickets are quite easy to raise and prepare, and the main problem is making sure that they don't escape. Crickets can be kept in any fairly large container with high sides and a tight fitting lid. An aquarium is a good choice. Put a couple inches of potting soil on the bottom of the container. This will be where the crickets deposit their eggs. Put several egg cartons in the aquarium for the crickets to roost on. Then, place a small container of grains and vegetable scraps in for food, and a container of moist cotton balls for water. Add 50-100 crickets. Mist the potting soil lightly every few days, and make sure that the crickets always have fresh food. You can probably start harvesting the crickets within a few months.

Crickets are escape artists!!! It is a good idea to put a rock on top of the lid to ensure that you don't accidentally knock it off. It is also a good idea to float the container in a tub of soapy water. Unlike mealworms, it is almost impossible to recapture crickets once they escape, and crickets may start infesting your house if they get out while you're on vacation (don't panic, though...they rarely cause any real damage to food or furnishings). I would really recommend that you start with mealworms if you are new to insect raising.