Probably crickets, but I wouldn't say it was all that weird, just unusual. They're very common in the state of Oaxaca in Mexico, and they serve them in Oaxacan restaurants in Los Angeles. The oddest part of it is that the legs/antennae do get stuck in between your teeth.
Goat brains don't sound gross to me at all, being that in Mexico we have cow brain tacos (cesos) and are very common, and delicious, by the way.
Someone mentioned sea urchin, and where I'm from in Ensenada, Baja California, they make ceviche out of it, and it's quite good, although I'll admit not everyone likes it. It's also fairly common and not as expensive as it probably is in Los Angeles. (I've never tried sea urchin outside of Ensenada).
Someone else joked about trying everything once. I'm actually a very picky eater too, but I will literally try everything once, unless it smells gross, because my immediate assumption is that if it smells bad, it will probably taste bad. I'm more of a "I hate people that fudge up a simple or traditional recipe" type of picky. Some people try to put their own twist on a recipe and most of the time it fails to improve it. I'll give you an example, I was born and raised in the city where fish tacos were created (the battered kind), and here in Los Angeles it became a trend to make all kinds of ridiculous "creative" salsas to go with the tacos (*cough* hipsters *cough*). Let's just say if you put mango salsa on an Ensenada style fish taco, I hate you.