You can actually, die because of drinking blood. It's toxic when consumed by drinking. Because of excess of iron, you may face liver damage, buildup of fluid in the lungs, dehydration, low blood pressure, nervous disorders and even death.
Yes, it is not a big issue if the quantity is low, say a few teaspoons. But I don't want to take risk.
Eating bugs is gross but it's a better option. A lot of people actually eat bugs. Cooked tho (if you allow it), like in China. Some eat it uncooked too.
Bear Grylls say it is rich in protein and it helps in surviving the worst case scenarios and climb mountains.
Who's blood? If it's my own and I'm bleeding then I don't really have a problem with it. Somebody else's blood, nope, no way I don't want to catch some blood-borne illness, disease or viruses.
As for eating a bug, it depends on which specific bugs and whether or not if they are deadly toxic and/or venomous, and whether or not if they had been deep fried. As I've heard that some places serve deep fried insects.