roaches (woodies), that's about it. They also love little crickets, I think I recall giving them mealworms once or twice and I'm sure they'd eat just about anything small enough. Food is dusted with calcium and multivitamin powder. They remind me of tiny goannas when they feed, strangely enough.
By the way, no UV, natural or otherwise for at least three generations (probably more) and going as strong as ever, captives without UV seem much better (bigger, healthier) than wild individuals.