Heat oven to 375 degrees F. Line 2 large baking sheets with parchment paper.
Make the spider: Cut 1 ball of dough in half. Shape one half into a 5-inch ball to make the spider body. Cut a 1 1/2-inch strip from the remaining half and shape into a 2 1/2-inch ball to make the head. Cut the remaining dough into 8 strips and roll each strip into a 6-inch rope to make the legs.
Arrange the body, legs and head on one of the prepared baking sheets to resemble a spider, gently pressing all of the pieces of dough together. Brush the entire spider with some of the egg. Sprinkle the legs with 2 tbsp Parmesan. Place 2 of the olive slices on the top of the head for eyes and 2 on the bottom for pincers. Bake until golden brown, 25-30 minutes (covering the legs with foil if browning too quickly).
Meanwhile, make the spider leg sticks (for dipping): Cut the remaining ball of dough into 8 pieces. Roll each piece into a 3/4-inch thick rope. Cut each rope into various lengths. Taper one end of each piece and slightly bend the other to resemble legs. Place on the second baking sheet. Brush with remaining egg and sprinkle withe remaining 1/4 cup Parmesan. Bake until golden brown, 15-20 minutes.
Meanwhile warm the marinara sauce (or prepare the dip you are serving). Using a knife, hollow out the body of the spider and fill with the warm sauce. Serve with the leg sticks (feel free to serve with other dippers).