Remember that what goes into the crickets, mealworms, and other insect prey is what you are ultimately feeding your pet. Keeping crickets and other insects at home for a few days before feeding them (or raising your own) has the tremendous advantage of allowing you to "gut load" them before giving them to your pet. This simply means feeding them nutritious foods, so the nutrition is passed on to your pet.
Products can be bought at the pet store and mail order insect suppliers that are specially fortified for gut loading. These are convenient and generally good quality but can be expensive. You can also feed them such things as tropical fish flakes, leafy greens (romaine, mustard greens, kale, collard greens), squash, sweet potatoes, carrots, oranges, apples, potatoes (peelings are fine), alfalfa, baby rice cereal, wheat germ, prepackaged reptile foods, dry cat food, etc. If you are feeding a homemade food mix, feed a wide variety of foods including fresh vegetables and fruits, and sprinkle the food with a reptile vitamin and calcium supplement for added nutrition.