I have a few hazy categories of animals that I wouldn't choose to eat myself, but I am very much a "liebe und liebe lass" person, so I don't pass judgment on what other people choose to eat. Personally, my "ew" factor prevents me from eating members of the orders Carnivora and Primates. And I have a bit of a guilty conscience when it comes to eating something that isn't produced in a very environmentally-conscious way, so I choose the less-intensively produced version or skip it entirely. But I wouldn't necessarily find it "gross" to actually eat the species in question.
I find it interesting that many people have an aversion to eating insects yet have no problem eating crustaceans. If I came across insects marketed for human consumption, I'd have no qualms in trying them out. And most Americans actually DO eat insects and don't realize it, because they aren't aware that one of the commonest forms of natural red food coloring -- carmine color -- is made from scale insects.
I love just about any fish, mollusc or crustacean I've tried -- my one exception so far has been raw Spanish mackeral (too strong for me). I LOVE sushi and raw oysters, clams, and even raw sweet shrimp. I've tried various caviar, but I'm not that thrilled with it. Salmon roe would be the one I'd say comes closest to being actually enjoyed, though some others are just not flavorful enough for me to be able to have an opinion -- shrimp roe doesn't taste like much of anything to me, being more about texture.
I've tried various exotic ungulate meats, but have yet to try horse. I've also had kangaroo, iguana, frog, rabbit, escargot, various exotic land-fowl, as well as the commonly-eaten chicken, duck, turkey, goose, pheasant, squab, quail, beef, pork, lamb, etc.
I think a big part of me being willing to try different foods arose from never liking cultured cheeses, even as a child. There's just something so aversive to me about cheese, whether I smell it or accidentally eat something containing it. The closest I can come to how it feels for me is likening the taste of it to the smell of a dirty restaurant kitchen mop that's been left in a closed garbage can in the heat of summer for a day or two. It's been like that for me as long as I can remember, so a lot of "traditional American food" is not on my menu. That left me with more curiosity about more unusual foods -- as long as there was no cheese in it, I'd try it.