A live creature:[1] It is forbidden to give an infant a live non‑kosher locust to play with, as it may die and the child may come to eat it, in which case it is considered as though one actively fed the child non‑kosher food. However, one may give a child a live treif[2] bird to play with, since even if it dies, it is not fit for consumption in its present state. [Furthermore, in modern times being that it is no longer customary to eat locusts, a live non-Kosher locust may be given to children to play with, as there is no concern that they will eat it.[3]]
[1] Admur 343:9; M”A 343:3; Hagahos Ashri Shabbos end of chapter 9; Shabbos 90b; Kaf Hachaim 343:13
[2] Vetzaruch Iyun why Admur mentions a Treif bird, as even by a kosher bird it is forbidden to be eaten without slaughtering and thus the same suspicion applies.
[3] Chidushei Rashal on Hagahos Ashri of Shabbos; Pischei Olam 343:2; Kaf Hachaim 343:13