I use a wide assortment of greens such as dandelions, collards, endive, escarole, mustard greens, kale, etc and veggies such as carrots, sweet potato, sweet red pepper, squash, zucchini, etc. Cucumber is good for moisture and I've used grape tomatoes cut in half once in a while.
Personally, my own good but cheap combination for gutloading my crickets is:
Mustard greens: Crickets love em'. Whenever I return to them after a while of giving them their food, the mustard greens is the only thing that's almost entirely gone from being eaten, so I give them more of this than anything.
Carrot slices: They'll eat them, and it's really good for them, but they don't like it as much as the other foods I give them.
Apple slices: As soon as I put them in the cage with the crickets, they run straight to it. It's crazy how they crowd around them the way they do.
Orange slices: Great for their thirst. Extremely juicy and wet.
And that's pretty much everything I use. It's cheap and works just fine, especially if you're going to be using plain calcium dust regulary and stuff (which you should be using anyway!). But if you have the time, patience, and money then go ahead and add other things the more the merrier