What species of insect is this?
It's a mole cricket (in the family Gryllotalpidae). 



Notice the cricket-like appearance of the posterior/abdominal portion of the insect, but the powerful, broad and flattened fore-legs that are designed for digging (reminiscent of a mole's digging legs). In fact, the family name literally means cricket-mole (from Latin, 'gryllus' = cricket and 'talpa' = mole).

Mole-cricket fore-legs:





Anterior mole legs:



The Gryllotalpidae are a monophyletic group in the order Orthoptera (grasshoppers, locusts and crickets). A 2015 paper by O. J. Cadena-Castañeda clarified/updated the phylogeny of this family using morphological characteristics.

The specific species is dependent on your location and morphological characteristics (and possiblly "song" differences too). 
See here for a brief explanation and access to dichotomous keys to use to better ID the specific genus. Other keys exist here (SE USA), here, and likely via a google search. However, I couldn't quickly find a European key.

Here's an additional useful resource on these insects from University of Florida Entomology and Nematology Department.

Based on the OP's location in France, the European mole-cricket Gryllotalpa gryllotalpa (or one of it's closely related European allies in the Gryllotalpa genus) is probably a good initial guess at the OP's specific species. As seen from UC Berkeley's "CalPhotos" collection: