Why do some grasshoppers have a black exoskeleton?
Field crickets are rather distinct from grasshoppers. Although both groups are in the Order Orthoptera, grasshoppers are insects of the suborder Caelifera and field crickets are in the family Gryllidae of the suborder Ensifera.

For a discussion on insect coloraiton, see here.

If you'd like a specific species ID, please provide more information as requested in the comments.

Generally, field crickets are black, red or brown in color. 



However, some species of grasshoppers are likewise black:


For example: Romalea species such as R. microptera and dark nymphs and morphs of R. guttata




Finally, here is a simple checklist of some typical differences between grasshoppers and crickets.