Yes, unfortunately in Florida, since we have so many ants/fire ants lawns and gardens are continuously covered in poisons. In my complex every single week they put the little flags in the grass that say it's been covered in pesticides. But going into forests or more rural areas you can probably find good things.
I don't know of one mysef, but I'm sure there is a list of non-toxic insects to feed. That's the only reason I don't go out and catch insects, I just don't want to sit there for hours investigating the toxicity of each insect.