As far as the UVB lights go, you get what you pay for. It's worth investing in a high quality light because the outputs vary so much. You need to provide UVB that is similar to mid day sunshine over the basking area which often requires something along these lines
http://www.lightyourreptiles.com/22-t-5-ho-fixture-high-output-with-arcadia-d3-12-ho-bulb/
For basking, it's quite similar to poultry in that you need bright white light and heat. I use a brooder dome fixture for my basking light along with a PAR38 halogen flood light which produces the heat required. It's a little tougher than the bulbs that were in the poultry section at the farm store although a few bucks more.
The kits certainly are crap unfortunately. I would avoid them because you'll wind up wasting money replacing things that come with it. Better to build up from scratch with high quality items that will last for years. It's better for the health of your dragon too.
The bugs are required in some form. A young dragon needs a LOT of them so having a roach colony of some sort is really needed unless you order in bulk every month which gets expensive for a while. Crickets are nosiy and smelly by comparison but are another option. The adults require less and are easier in terms of bug requirements but I still keep a roach colony for my dragon who is about 2 and a half now. They aren't so bad once you get used to them and they're pretty low maintenance. I haven't had any escapes so far but I understand your concern on that front. On the flip side, they're very good composters and will eat leftover salads and all sorts of veg scraps. My colony took out an entire banana in about 15 minutes once, peel and all.