My personal preference is meal worms, They are incredibly simple to breed and very easy to gut load. Makes for a very healthy and free food source. Although i am working on addin a vermi compost to grow red worms as well.
To breed meal worms just swing by a pet shop and pick up 100 meal worms , get a plastic bin of any kind, I've used everything from coffee/ice cream tubs up to my current setup which is full dresser with plastic drawers that holds 4 big colonies.Anything works because they cannot climb smooth surfaces in the larval form or the beetle form, and the beetles dont fly so as long as you have smooth sides at least a couple inches tall you'll be fine.
Put 2-3" of oat meal at the bottom of the chosen container a 1/4 slice of potato and your worms, stick it in a warm place, the warmer it is the faster hey go through their life cycle. You can heat the bin of just stick them in warm spots, like on the hot water heater on top of the fridge or in front of a heating vent something like that. Then just wait, depending on the temperature you will have beetles in a few days up to a few weeks, all you have ti do is keep swapping out the potato whenever it dries up. Those beetles lay hundreds of eggs, so just leave the first 100 worms alone and wait for the next generation to grow out, by that point you should be able to harvest them continually.