Ren,
I agree on the roaches. Some people like to breed the lobster roaches b/c they are so prolific and chams seem to like them. I gave all of mine away as the climbing and their speed was more trouble than not. I now have dubia (love them), discoids and pet cave roaches. I do sometimes feed the freshly molted nymphs of the cave if I happen to see one - like I did a couple days ago:
OK, not a cham, but Darwin has not been doing great lately so he got the treat!
Some species give off a defensive chemical odor. I stopped keeping the orange heads for this reason as I had a bad reaction (I have a partial seizure disorder and some odors and fumes are a trigger). The caves don't smell great, but my interaction with them is minimal and they also do not seem to be a trigger for me. Btw, these are all non climbers
As Brad said they take up very little space and are easy and clean. If you get non-climbers you have minimal chance of escape. Just have to be sure that you know how many roaches you are taking out as they tend to be very clingy - a HIGHLY social insect.
Another EASY food to breed are superworms! If you have different size animals you have some for everyone! I have side-blotched lizards (about the size of house gecko) so the smaller ones are great for them. The beetles have a rather unpleasant defensive smell as well and some herps will eat them and some won't. Darwin will but Cyrus spits them out! lol! Here is a good superworm site.
http://www.iaherp.org/superworms/ I do mine a bit differently (bait boxes in the dark rather than film vials which have a lot of residual chemical in them), but the results are the same.
have fun!