Haven't tried cicadas but in Thailand, we've had crickets and grasshoppers.
They were fried with a little soy sauce. Really not bad other than occasionally getting a leg stuck in your teeth.
Funny thing, we came across a little old lady (who spoke no english) with a cart in an alley selling them in a non-tourist area (a lot of tourist markets sell bugs if you want to try them). At first, she acted like we shouldn't be buying them but once it was clear we wanted some, she got real happy and for 10 bhat (30c), she loaded up a big bowl for us. Far too big of a bowl. Then she added a 2inch deep fried frog on top...We ate most of the crickets and grasshoppers but couldn't bring ourselves to crunch thru the frog bones and all.
Now if you want good, a coconut grub is really good. You eat them live and the juice tastes like coconut cream.