I've seen it...on one of those channels (National Geographic/Discovery Channel/etc). Koreans do eat live squid or octopus. However, it is risky as well since one or the other, or even both, could choke you to death. There have been cases. Not that it should deter you from trying one, but hey...
Have you guys seen that show "Bizzare Foods" on the Travel Channel (or whatever channel it might be on)? They got some interesting foods there.