I definitely say no to earthworms or redworms. Though you could feed these as a treat very rarely, they can often carry parasites that can infest your dragon.
Also, go easy on waxworms. These are high in fact and should be a rare treat.
Other great insects you can feed your dragon freely as often as you like, are silkworms, hornworms (also called Goliath worms) and various roaches (smaller roaches, or babies for younger dragons but watch for the heavy exoskeletons of some species of roaches). You can order silkworms, hornworms etc from most feeder supply places online for much cheaper (even with shipping) than most pet stores. Reptile expos are great places to stock up on feeders, though some feeder breeders don't bring alot of bugs to shows so its always good to call them ahead if you want to put in a big order.
Silkworms are great as they are easy to keep and breed, so even if your dragon can't eat them all before they coccoon, you can wait till the cocoons hatch and let the moths breed and lay eggs. After the eggs turn dark purple, refrigerate for 2-12 months. At any time during that range, you can take out as many eggs as you want and in 5-15 days they will hatch into tiny black silkworms. Feed the silkworm chow daily till the worms are big enough to feed.
For more info on breeding silkworms, there are tons of articles online and many posts in this forum about it as well as in the feeder forums. Same for breeding roaches, superworms, mealworms, and other feeders.
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PHLdyPayne