Using KY's definition, I'm definitely not picky. That is, if "picky" means "I know I don't like that, although I haven't tried that," I don't work that way.
Anyone remember the late George Carlin's routine about this? He was a "fussy eater -- in other words, a Big Pain In the A**." My favorite line: "Eeuuuugh. I don't like THAT. Did you make this, Mom? Is there a picture of it in the cookbook? I bet it don't look like THAT!"
One thing currently in the category of "nope, not eating that, and no, I haven't tried it" is that Filipino fertilized egg thing, where you crack the egg and find a 3/4-formed baby chicken in there. And I only don't want that because my wife once bought some at a Chinese market, under the impression that they were just extremely rich eggs. I went to make a mayonnaise out of them, cracked one in the bowl.... Let's just say it was a mildly traumatic experience, you know?
I have eaten roasted crickets in Taiwan, which were perfectly nice if a little excessively fibrous. And I'm sure I'd try ants in Mexico. But with insects, there are lines I won't cross:

(Note that the little pasta shells are actually hornet larvae.)
This is not a joke or something; it's one of the culinary creations of
Shoichi Uchiyama, who runs a bug-eating club in Tokyo and has published a cookbook about it. Not me -- I'll pass. And no, I haven't eaten it. Does that make me picky?