They'll eat pretty much any insect you toss in there. I'd be real careful if you ever sprayed or live in an area that does spray for bugs. Best thing to do is go to the store. Make time, this is your pet. If you don't have time to properly feed it, get rid of it. I feed mine store bought crickets from time to time, in addition to worms, but they live off a high quality pellet mix.
i give mine , mussels , litle frozen fich ( defrosted for feeding ) , schrimp , superba schirmp , red larves . and he tinks my pinkie is some sort of food too ....