Roaches are a good option....
I prefer crickets though, just a personal preference. I breed a few thousand of them every month. They can stink though, mine usually don't get very bad. I try to feed them off before they get old enough to die. I sell a lot of them....otherwise I would have more than I could ever use.
As for roaches, I recommend orange heads over dubias. They breed quicker and are bulkier. They have a softer exoskeleton, easier to digest. Besides, they are actually a pretty roach.
I'm starting a colony of ivory heads soon. They are suppose to be even better than orange heads. They tolorate crowding and not as carnivorous as orange heads. But they are rare and pretty expensive ($3/roach). Orange heads can chew on each others wings. But its only cosmetic and a high protein diet usually helps prevent it. They nymphs are a pretty deep red color, adults are tan with a bright orange head. Trust me...you'll like 'em