Mine seems to like flying insects too - any flying insect. He goes bonkers trying to catch them.
With the crawling insects, he goes through stages. Right now he seems to like silkworms best, but there was a stage he wouldn't touch them. He's been through a zophoba phase, a mealworm phase, and although crickets are a consistent staple, there are times he won't touch those...
Favourite veggie would probably be his Bougainvillea plant...