Unfortunately mine seems to like best those insects which are not that good for him. (waxworms, zophoba worms).
Also he has lately only been receptive to crickets or roaches that I place on a branch or on the screen rather than in his feeder cup.
I am hoping to be able to offer mantids and other species of roaches soon. I know he's bored. Variety is truly key!
Mine seems to like flying insects too - any flying insect. He goes bonkers trying to catch them.
With the crawling insects, he goes through stages. Right now he seems to like silkworms best, but there was a stage he wouldn't touch them. He's been through a zophoba phase, a mealworm phase, and although crickets are a consistent staple, there are times he won't touch those...
Favourite veggie would probably be his Bougainvillea plant...