My BF had a Desert Iguana for 8 years.... died prematurely from an accident involving a cat and a screen lid that ripped open...(we now have the reptile room closed off)
ANYHOO from HIS experience, they do like to have thier insects. When coming out of hibernation they will go for primarily insects for the protien, and I can't find it anywhere, but I did find an article at one point that they examined the contents of a wild one and it was found that they are omnivorous. HOWEVER, I do hear in captivity that they can refuse veggies if given too many insects, so be careful.
I would say mostly veggies, but also offer crickets and meal worms once in a wile(thats what we did). They tend to really like colorful veggies because they eat certain flowers in the wild (yellow sqash, cantaloup, yellow/orange food)