A Stink Bug is a small arthropod from any of several species (according to the Virginia Tech entomology department's web site):

The green stink bug is well, green. The brown stink bug is a brownish gray, and the dusky stink bug is a dark brown. All of them have a shield shaped body with their wings tightly folded on top. They are also sometimes known as shield bugs.

They come by the name stink bug by way of the vile odor they emit when injured, squashed, or scared. I imagine this puts off predators, I sure wouldn't eat one, I think it would be much more pleasant to starve to death! Each one of the little critters contains enough of the aromatic stuff that if stepped on they will make a whole room almost uninhabitable until throuroughly aired out.

When cold weather comes they will crawl into cracks in buildings and once inside they will infest the building in attics and walls, eventually finding their way into the interior where they get stepped on and stink the place up.