Unless you've eaten anything with carmine dye (and I'm sure some other dyes use insects as well).
Carmine, cochineal extract, crimson lake, carmine lake, natural red 4, C.I. 75470, or E120 are all synonyms and are very, very common in food and cosmetics. It's an aluminum salt of an extract of a scale insect. It's used in many pink, red, and purple food products, particularly yogurt, candy, and juice.
Another commonly eaten insect product is lac, also known as shellac, pharmaceutical glaze, confectioner's glaze, or E904., which is used as a hard coating on pills and candy.
On a less insectual but equally icky note, many artificial flavourings and scents make use of castoreum, a substance extracted from the anal scent glands of beavers. Beaver butt juice is in a good chunk of processed food.
Faramir77 mentioned that, as well... ---
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