You won't really have the same insects they can eat in the wild, but the best choices for insects available online and in stores are:
- Superworms
- Roaches (dubia, turkistan, etc.)
- Phoenix worms
- Silk worms
- Hornworms
- Crickets
- Butterworms
- Waxworms (as a rare treat)
I think that's it... I might be forgetting one or two. But those are the best options. Superworms, crickets, and roaches make an excellent basic diet though.