This question actually came up in a conversation I had with a colleague (I asked the question):
If you had to choose one or the other, would you rather eat a ratburger or an insectburger?
Surprisingly, that colleague and another one that I polled had trouble deciding. Maybe it's just me, but I'd think it's a really easy choice -- rats are still mammals, not too different from rabbits (which I've eaten once before), whereas insects are bugs (ick!).