All over the world, a large proportion of the population consume insects as part of their diet. In Western countries, however, the consumption of insects is perceived as a negative phenomenon. The consumption of insects worldwide can be considered in two ways: on the one hand, as a source of protein in countries affected by hunger, while, on the other, as an alternative protein in highly-developed regions, in response to the need for implementing policies of sustainable development. This review focused on both the regulations concerning the production and marketing of insects in Europe and the characteristics of edible insects that are most likely to establish a presence on the European market. The paper indicates numerous advantages of the consumption of insects, not only as a valuable source of protein but also as a raw material rich in valuable fatty acids, vitamins, and mineral salts. Attention was paid to the functional properties of proteins derived from insects, and to the possibility for using them in the production of functional food. The study also addresses the hazards which undoubtedly contribute to the mistrust and lowered acceptance of European consumers and points to the potential gaps in the knowledge concerning the breeding conditions, raw material processing and health safety. This set of analyzed data allows us to look optimistically at the possibilities for the development of edible insect-based foods, particularly in Europe.