Depending on where you live, roaches. I have Dubias, Lobsters, and Turks.
They have less chitin, more protein, and are quite fun to look at. Most of these roaches don't even act like the kind we exterminate from our homes, and with the Dubias, they breed and move slowly, so they aren't hard to catch should they get away from you, or the dragon.
Hope this helps out !
Janie.