"Reckon Fred'd take a bit of Cockroach Cluster if I told him they were peanuts?"
-- Ron Weasley (PA10)
These are sold in Honeydukes next to the blood-flavored lollipops in the far corner of the shop marked “Unusual Tastes” (PA10). Remembering that Fred once gave him an acid pop that burned a hole in his tongue, Ron considered retaliating by passing off a cockroach cluster as peanuts (PA10).
Cockroach Canon and Vampires: Earlier during the boggart lesson, Lupin had changed his moon-boggart into a cockroach and told Neville to "finish it off." When Neville approached, the cockroach turned back into Professor Snape before exploding (PA7). The cockroach clusters were on a shelf with blood candy for vampires, and Lupin had given the DADA class an essay on vampires, which he mentioned in front of Snape when Harry was caught with the Marauders Map (PA14). Perhaps the author was having a bit of fun with the theory at the time that Snape with his black cloak and pale skin was a vampire - which he never was (Pm), while Lupin was a werewolf and no one except Hermione figured it out. Ironically when Harry saw the picture of Sirius Black in the Daily Prophet he thought he looked like vampires they had studied in DADA class (PA3). When Lupin resigned at the end of the year, Dean Thomas wondered if next year they would get a vampire as a teacher (to go along with the werewolf they just had) (PA22).
During his fifth year, Harry spied on Snape's "worst memory" in the Pensieve during Occlumency lessons. Snape exploded in anger, and a jar of cockroaches shattered behind Harry's head as he was running away (OP28). It is assumed that the cockroaches were for making potions, and not a snack.
"Cockroach Clusters" are borrowed from a Monty Python sketch which focuses on a candy-maker who specializes in disgusting chocolates. He argues that his "Crunchy Frog" chocolates, for example, are made with the "finest baby frogs, dew picked and cleansed and flown from Iraq..." The police inspector exclaims, "Don't you even take the bones out?", to which the man replies, "If we took the bones out, it wouldn't be crunchy, now would it?" The idea for Chocolate Frog cards is also a tribute on JKR's part to Monty Python.
"British comedy is an obsession of mine. I love Monty Python."
-- J. K. Rowling (Sch2)