Pretty much anything thats not toxic but be careful of pesticide infected bugs. Some insects can develop an immunity to certain pesticides and carry these toxins with them until they wind up in your fishes stomachs.
I don't really like feeding my fish insects from outside my house as I don't know if they are infected. Although if I see a crickets or something I'll pick it up and give it to them.
go to a lake like jordan or some other local place take some kind of light with you. all these moths with funny tails will come to the light. i dont know if they are toxic but i catch those guys when i go fishing at night and i catch something every cast.