Are there any cultures who eat spiders as a delicacy?

Yes actually there are quite a few places throughout the world that consume spiders. For instance, in the jungles of Africa the natives there hunt and catch large tarantulas, flip their legs back tied and roast them over open fires. They then consume and pick the meet from the spiders large abdomens/body. Tarantulas are considered a delicacy in Cambodia and Piaroa Indians of southern Venezuela. It is said to be compared to the consistency and taste of shrimp.