Brightly coloured flower beetles should be avoided, for no better reason than when handled they give off chemical deterrents which make them taste absolutely awful. As someone who has sucked up a few in hand-held insect collectors in my time, I can attest to their truly appalling taste.
Large house spiders are certainly edible, described as having a nutty taste when roasted over a fire. Woodlice, as above, taste like prawns, and are also an indigestion cure. Earthworms, slugs & snails are certainly edible, though you might want to purge slugs on a known diet for a day or two first. Best insect forage are probably grasshoppers and green caterpillars (avoid the hairy ones), and the larvae of beetles, ants, wasps, bees, and even flies (maggots). Not appealing, but nutritious.
Even more broad-brush: if it isn't brightly coloured you can probably eat it. I make no promises about what it tastes like though.
