If you're in the mood to milk a cockroach, the video below will take you through the exciting process. Cockroach milk isn't a milk substitute made from ground up roaches. It's the substance that cockroaches use to feed their young, and can be harvested from a lactating roach's midgut. Roach milk is high in protein, vitamins, minerals and amino acids. Some researchers say it's one of the world's most nutritious substances. Mass producing roach milk for human consumption isn't an easy process, and for this, I am glad.