Some of the more exotic protein I've eaten:
jellyfish - was marinated in some Chinese pepper sauce and scallions. Initial bite feels sorta like biting into cellophane. Very tasty.
beef tendon - see jellyfish. Doesn't have the cellophane "snap" to it though.
raw eel - strange texture but very tasty.
goat - thought it smelled a little off, but really tender with a mellow flavor.
conch - easy to overcook, not much flavor.
grasshoppers - don't remember the flavor since I was a little kid. I just remember wanting to puke.
ants - sort of a sour flavor. Wouldn't mind eating these if I were stranded in the woods.