Crickets (of appropriate sizes...) various species of roaches, superworms, phoenix/repti/calciworms, hornworms (again, of appropriate size - they grow fast!), silkworms ... If it's moving, they may have a go at eating it. (With the calci-worms, my gang don't so much go for the worms themselves, but as soon as the worms turn into flies and lift off - bango!)
Also, if you've just gotten them, give them a bit to settle in. They may be a little overawed at all the newness around them.
~Bruce