I drank. The bug tasted surprisingly peppery or something. It was so small that I really didn't think I would be able to taste it.
All in all I would not recommend drinking bugs, but in my defense it is a gorgeous afternoon in the beautiful City of Trees and it was way better to drink a bug than walk clear back inside the Gyro Shack for another drink.
I am trying to get in shape, so after I was done, I got another 20 ounce Mtn Dew so that I could stay hydrated as I walked the 1/8 mile back to my office. That one did not have a bug, so it was more enjoyable. That is enough crap drinks for one day for me though, so I am sticking to coke zero for the rest of the afternoon.