IMHO breeding fish is more trouble then its worth, the fry dont grow fast enough and you end up spending more money then you save. as Nes999 said, worms are amazing theyre packed with protein. Crickets are good too as well as meal worms but in all honesty its best to have your fish on pellets its easiest and most cost effective
Also depends on what fish you are keeping -omnivorous fish (IMO most fish we keep are omnivorous) will eat a wide variety of foods in the wild, they don't live on just worms, or just feeder fish, they also eat insects, inverts, other fish/fry, vegetable matter. The only way we can come close to duplicating this diet (and thereby keep our fish as healthy and happy as possible) is to include some form of commercial feed - pellepts, flake etc - and supplement with live or frozen foods - brine shrimp, bloodworm, tubifex etc - and something like zuchini or spinach (and other 'greens').