Nearly all amphibians and many reptiles kept as pets are insectivorous. While larger species can eat mice for health reasons the bulk of your non-herbivorous herps diet should be insects. Their are well over a million species of insects in the world so their is no end to your options for feeding your pets. Indeed if you live in a relatively rural area you can get away with turning on the porch light at night to attract all the insects you need. Alas most of us have to buy our feeders. Nearly all pet shops sell four main feeder insects: crickets, mealworms, waxworms, and superworms (all of which you can breed on your own but that's another post). I call these the "Big Four". If you can't find them you're looking in the wrong place. Their are many other feeder that you usually have to order. These include fruit flies, springtails, phoenix worms, cockroaches, butterworms, and flies. I will be dealing with the "Big Four" here.
There are many charts online outlining the basic nutrition facts for various feeder insects. You may find that their numbers differ. This is due to the fact that no to feeder population sill be the same. One company may have more fat in in their gutload. Another may have more calcium. These charts are simply guides and they are usually not far off. Below I will compare the fat, protein, fiber, phosphorous, and calcium for the "Big Four". No exact numbers will be given since they are not useful here.
Crickets are the lowest in fat. Wax worms are the highest.
Crickets and mealworms have nearly the same amount of protein with waxworms and superworms not too far behind.
Waxworms and superworms have the most fiber with crickets a far second.
Crickets have the most phosphorous with mealworms close behind. Waxworms and superworms are almost the same with the least.
Crickets have the most Calcium, followed by waxworms, superworms and mealworms have the least.
What Should I feed my Pets?
Short answer: crickets. Of the "Big Four" they can't be beat. Long answer: use your better judgement. You obviously wouldn't want to feed them waxworms regularly because of their high fat content. Also keep in mind that in the wild these creatures have a wide selection of insects to satisfy their nutritional needs. so it is good to give them a selection. Gut loaded crickets dusted with a vitamin/calcium powder can make up the majority of the diet but supplement it with other insects to. Even venture into more exotic feeders (cockroaches are great).