I had the same experience tonight in Ottawa Ontario Canada - ordered a baked potato at the drive through window and when I had eaten about half of it at home I saw that there were two "bug like" things on the bottom. Needless to say, I freaked out, threw up (I was so grossed out) and called the Wendy's to tell them. We're talking about 1-inch long, black-brown color, looks like antennae and legs, a head and a body. The shift supervisor told me that it could possibly be the potato "veins" that maybe weren't scrubbed off before the potato was packaged and sent to their store.
I'm going to show a public health inspector tomorrow just for my peace of mind. If it turns out to be a potato part, then it's not a huge deal (although, for good customer relations they should really make sure that those things are not going out looking like that). If it turns out to be two bugs - I'm going to freak out.