I have a list of bugs in my area that I feed: worms, tomato worms, cut worms, june bugs, june bug larve (grub worms) dragon fly larva, moths, flys, grasshoppers, store bought night crawlers, store bought cooked or raw shrimp (not a bug but oh well), and beetles of all sorts.
I will say I did lose an oscar about a year ago by feeding it a small, black trantula looking spider...that killed the crap out of my fish about 6 hours later.....so no more spiders.
We do not use bug sprays or that kind of stuff around here, so I never worry about it...
I know one guy feeds his the occasional wasp...but I'm to scared of them to handle them, squash 'em and toss 'em in the trash!
Hope that helps!