I rear several species of moth, some as feeders and some for research/education/population replenishing.
For the most part adult moths are pretty safe as feeders. It is the caterpillar stage that can get tricky - spines containing formic acid (io moth), hair that can irritate (tent caterpillars), etc. I do not know if the toxicity (say of the io) is transferred to the adult in anyway - I do not believe so, but this question prompted me to ask some of my "expert" friends and will let you know when I hear back.
But what you find flitting around your lights at night should be safe. The drab gray, brown, tan, white are fine. Moths that feed (some do not, like the wild silk moths that I rear - luna, polyphemus, etc.) mainly feed on nectar so the pesticide issue can be a concern but many of the ones we see have such a short life span and consume small amounts it should not be of concern. I collect some and feed to everyone. The geometer moths (inchworm caterpillars) are frequently found (some are very pretty and nicely patterned) and are safe.
The general color rule of nature pertains to all insects: combinations of black/orange, black/red, black/yellow are warning colors - something you rarely see in moths.
As for feeding, some do not feed at all as adults, most others feed on flower nectar.
Here is a link to moth silhouettes to help you at least figure out what family it is Moth Silhouettes
here is an article on rearing hornworms and silkworms which you can bring to adult stage - I will tell you right now, it can be an intense endeavor. BUT, you can rather easily bring waxworms to the adult moth stage and many herps like them: waxmoths
hope this helps!