Well, right now... I am feeding him crickets.

He eats lots of them... somewhere in the neighborhood of 30 or so medium crickets a day.
I have also fed him lots of wild caught bugs, mainly moths. He loves them. I live on a couple acres out in the country, and the chances of pesticides are pretty low.
I subscribed to silkworms something like 3 weeks or a month ago now, and still haven't received any. The company called and said that they had a problem with some of them, and could they hold off til the following week to ship? Well, I didn't mind that, but it has been 2 (or 3?) more weeks and they haven't even called to say what is going on.
I tried superworms, and he won't eat them. In fact, I ran out of crickets one day, and thought that if superworms were all that were in his feed tray, he would eat some. Well, he didn't.
I was thinking about ordering in some roaches, but I have a squeemish family member that shudders every time I mention it. Might hold off on that for now!
Heika