So enough about the cicadas - what about our pets?
Dogs and less fastidious cats will try to snack on the cicadas and their shells.
Eating one or two cicadas is highly unlikely to cause any harm, unless your pet happens be allergic (very rare, but possible, just like some people are allergic to bee stings).
Supervise your pet outside, since the hard insect exoskeleton could cause choking.
Eating a lot of cicadas can lead to GI problems:
The bottom line - don't let your pets eat a lot of the cicadas, but don't panic if they grab a small snack. Now is a great time to teach the "drop it" command if you haven't already - you'll have lots of chances to practice it in the weeks ahead! No time to teach a command? Spend 5 minutes a day getting your dog used to wearing a basket muzzle - they're roomy enough that your pooch can eat treats, drink water, and pant while wearing one, but won't be able to pick cicadas up off the ground.