They smell bad, they have a very strong fishy taste...and that stays on your breath a long time...
However, I will admit to eating one...live anchovy.
About 30 years ago, my wife worked for a small business telephone company. Once every year, they chartered a fishing boat out of Monterey. I LOVE deep sea fishing and rockfish, so we always went. We'd go down the day before, get a motel, have a nice dinner, then get up early, and have a light breakfast before getting on the boat.
Some of the managers of her company treated the trip like a drunken party...stayed out late boozing it up, went and had a big, greasy breakfast, and were still partly drunk or badly hungover when they got on the boat.
That morning, the ocean was...not rough, but had lots of large gentle swells.
One manager, who was an absolute dickhead to everyone beneath him was getting seasick...turning a bit green.
I asked what was wrong..."Oh, I don't feel too well. I mist have had too much to drink."
"Hell dude, I fish out here all the time. I have a sure-fire cure for seasickness." I reached over into the live bait tank, grabbed the biggest anchovy I could catch, and took a bite...about hald of it, including the head...then offered him the rest.
That was it...he was face-first over the rail, puking his asshole out.
(as soon as he started chumming, I had to spit that nasty shit out before I started puking too...I REALLY don't like anchovies)
He finally came up for air and said, "You're a fucking asshole, Boomer!" I grabbed another fish and held it out to him...back to the rail he went...and spent the rest of the trip feeding the fish.