I feed roaches, they are easy to keep, do not cannibalize each other or stinks like crickets do and are very hardy.
This is my setup
I keep them in my snake room where it is always warm (that's a very important part) but you can also use a heat pad to maintain proper temps.
I feed this http://www.pangeareptile.com/store/r...ug-burger.html which is water and food all in one, every now and then I give them some bread too.
All you need is a starter colony from someone local (getting an assortment with adult and nymphs is what I would recommend).
I feed roaches twice a week and the rest of the week I feed Pangea gecko diet http://www.pangeareptile.com/store/p...ecko-diet.html
My feeding schedule looks like this
Monday CGD
Wednesday Roaches
Friday CGD
Sunday Roaches