I happened upon this short Youtube piece concerning a bug that dances to music. I am confident that this musically endowed critter would have danced up a storm had he been exposed to some hot '20s dance band discs!
When I was in college, I played guitar in a rock band and we often practiced in my parents' basement. I remember on a couple of occasions when crickets would be skittering around on their backs while we were playing - - and pretty soon the little guys were dead. I still have hearing loss from standing in front of those big amps.
I agree that "music appreciation" is probably not what the insect is experiencing!