Dubia roaches
Dubia roaches are what I feed my cham. He loves them. He likes a good crunch. I could feed him mostly gut-loaded roaches, but I also give him crickets, mealworms, superworms and the occasional waxworm and silkworms when the suppliers have them.
It cost a bit to start a colony, but once I did they pretty much have paid for themselves. This type of roach doesn't really climb or fly. They also really need to be warm to breed, so if they get out (and I have not had 1 escapee) they are unlikely to breed. If you are worried at all, if you line the top inch of the tub with a thick line of vasoline, they will not pass the barrier.
They are remarkably clean and do not smell. I also have different sizes living together without any problem. You can keep a couple thousand in a mediumsize sweater box. I'm excited come winter when the crickets are harder to get shipped, I'll have a staple diet that is easy and cheap to keep.