Well, it depends on if you want them for pets or feeders. Hissers (Madagascan Hissing cockroaches) are great for both, but I could never use them for feeders (I love my boys Hamlet and Laertes to death. They have a surprising amount of personality for insects!). Hissers are also the most commonly kept roach, as well as one of the most commonly kept invertebrates (they're also much better suited for captivity than hermit crabs), so they're easy and cheap to get on the internet or in some pet stores. A small colony (1-5 roaches) only needs a 10 gallon tank, and as long as the temperature is between 65 and 85 degrees, they'll be fine (though if you want them to breed I think they need it to be around 80 degrees or more for rapid breeding and healthy babies).
As far as permits go, the only state that has any laws about hissers is Florida (though I think as long as you're not in southern Florida, you can still have males shipped to you). You might want to check more into that if you live there.
They can eat many different kinds of food, but they always need a source of protein and veggies/fruits. For protein, I use dry cat food (since I also have a cat) but dry dog, mouse, fish, or even hermit crab food should work fine. Though I would recommend either grinding it up or wetting it to make it easy for them to eat (though wetting it makes it smelly, but only if you have your nose right over the tank). And veggies, I usually give them organic Romain lettuce, and sometimes thin organic carrot slices and rarely fruit (fruit tends to attract fruit flies which can be annoying). But whatever veggies you give them, ALWAYS make sure they're organic, and change the food every few days (I give them new food when the lettuce is wilted and the catfood doesn't look so fresh). And if the veggies/fruits have even some pesticide residue on them, it can put the whole colony at risk.
As for water, I just use a mister and mist around the tank and food dish a couple times a day (also keeps it somewhat humid too, like the rainforest the species comes from), but there are many other ways to provide them water. The only way not recommended is a water dish, because it puts the roaches (especially the babies) at risk for drowning.
As far as substrate, I use this brown papery clumpy stuff I found it the Wal-mart pet isle. It doesn't smell, is cheap, dries quickly if it absorbs water, and is non-toxic. Though I know that you should NEVER use pine and possibly cedar shavings as they are toxic. The depth of my substrate is about an inch or two, so that should be fine.
As for a surplus of roaches, I'd first get separate tanks for the males and females to cut down on unwanted breeding (hissers are VERY easy to sex; males have two big "horns" on their head plate, females have slight protrusions if anything at all. Google it if you need pictures). If you do get some unwanted babies, ask around! I know the PETCO near my house will take them as long as I'm not trying to sell them to PETCO (they can only buy from licensed breeders, though they told me they can take them off my hands if I'm just trying to get rid of them). You can also ask family, friends, etc. Even though many people are squeamish about bugs especially roaches, just tell them the real facts about hissers. They have little, if any odor, and they are extremely easy to care for. So easy that they are and excellent starter pets for children (the only thing a kid would need help on would be changing the bedding if they get a glass tank, though that only needs to be done about once a month). They are also completely harmless and VERY slow-moving (that's why they hiss; it's their only defense), and they are disease-free (I'm sometimes silly and kiss one of my boys on his back, and I've never had anything happen. They usually don't seem to mind it either). As far as hissing goes, they won't usually hiss when handled if they are used to it (unless you startle them), though if you have more than one male in a tank they do tend to emit quiet hisses when fighting at night (only males fight, and when they do it's just about intimidating each other and definitely not about hurting each other). They can live a full, happy lifespan of 2-5 years in captivity, they're fun to handle, and kids love them as a neat, exotic pet! I'd recommend them over hermit crabs any day (I could go on for days about why hissers make better pets then hermit crabs)! Though if you absolutely cannot find babies homes, then the only thing you can really do is euthanize them in the freezer (something I could probably never do myself). NEVER release them into the wild. It's not their natural habitat and would be a problem if they survived and became an introduced species.
Well, that about sums up what I know from experience and research about hissers. Can't really help you if you decide on another roach, though hissers are always a great choice for starters. Good luck!