In a medium skillet, melt the butter. Add the shallots and cook over moderate heat, stirring occasionally, until softened, about 8 minutes. Scrape the shallots into a food processor and let cool. Add the goat cheese, cream cheese and feta and puree until smooth. Scrape the cheese into a bowl and refrigerate until chilled, about 30 minutes.
Shape one third of the cheese mixture into a ball and roll in black sesame seeds to coat; shape the remaining two-thirds into a larger ball and coat with black sesame seeds. On a serving board, press the balls together to form the head and body of a spider. Cut the piquillo pepper into 2 small triangles and place them on the body in an hourglass shape. Serve with crackers, flat breads or bread sticks.
The unformed cheese mixture can be refrigerated for up to 3 days.