There is still a traditional local market in Phuket Town and I have visited it with Chris and Tiff a couple who I married on the beach at Cape Panwa - I don't recall them eating any of these though.
These are referred to as Giant Water Bugs -
(Mang Da Na).
Well they are too scary BUT if you want to eat them Willy knows how to and what to drink with them - have a read. BUT I do not know how much to pay?