Cockroach Clusters are shaped like peanuts, as Ron Weasley once thought he could fool Fred into eating some if he told him they were peanuts. They apparently contain real cockroaches. Once, when Harry Potter was trying to enter Professor Dumbledore's office, he stumbled upon the password, which was "Cockroach Clusters".
In the real world, there are actual Cockroach Clusters candies, which are sold as novelties. The website Candy Addict rated them as #7 of the "10 grossest candies." [1]