Eating bugs and critters of all varieties has become a bit of a culinary fashion. So, with the thought of digesting such delicacies as deep fried tarantula, or supping on ant soup, are there any suggestions or even protocols that dictate a certain drink (alcoholic)? Bear in mind that I think that the spider should be accompanied by a chili sauce.
When pairing dishes and drinks, you shall first ask yourself what kind of pairing you seek.
Reinforcing pairing, aim to emphasis the tastes of either food or beverage, or both. A Jura oxydized wine over a smoked poultry.
Correcting pairing aim to neutralize an unwelcomed taste from either, Edam cheese and Lambic/Ould Bruin, to cut the acidic dryness of the beer for those whom don't enjoy it.
Zero pairing, aim to wash out the taste of one by the second, just to always have the first bit/sip flavours. Ginger with japanese gastronomy
Contrast pairing, aim to a deliberate yet welcomed discrepency between food and beverage. Earthy beer over shellfish.
=> Do keep in mind that the pairing can not only be on the taste, but also on texture. A "greasy" food with a "drying" drink for example.
In your case, more than the spider itself, you plan a chili sauce. So, the drink will deal with spicyness : it implies a lost of tasting capacity by overcrowing of one or various of the fundamental tastes (Saltiness/Sweetness/Bitterness/Sourness+Umami+Astingency+Pungency). In this case, saltiness and pungency will be the dominant you'll have to pair with.
If you want to reinforce it, you shall look to strong liquors, which will get the pungency stonger (ethanol have it's own burning sensation) ; but you may have to water not to burn your tastebuds. A salty vodka ?
If you want to correct it, you shall seek fat drinks, as spicyness agent are mostly lipophyllic. Thats why many a western guest enjoy Lassi with Indian curry.
If you want to zero it, but only with a light chili, you may try a red wine from old vineyards, the kind of wine where spices notes are powerful. Wine itself will be lost, but it'll reset your tastebuds as alcohol is a solvant and the wine is quite tannic, the astringent side will make you salivate. Syrah wine on fifty, eighty years old vines.
If you want a contrast, try a malted and hopped beer, where rye is involved. It's rich mouthfull will compete with the crispy feeling of the bug, and rye, even more than oat, bear spice quite well.
Obviously, if you abandon the chili, those recommandation are void ; but you now have the keys to make the match yourself.