I would recommend roaches. If you would have asked me a couple years ago whether or not I would ever allow roaches in my house (whether considered pests or not) I would have answered absultely NOT! But I took a daring step last year when the insect bills were getting outrageous. I learned as much as I could about roaches and finally ordered some (lobster roaches). A year later I now have 4 different species! My dragons love them and they are so much easier to care for then any other insect I have had (crickets, superworms, waxworms).
The species I have are:
Lobster Roaches (Nauphoeta Cinerea)
Madagascar Hissing Roaches (Gromphadorhina Portentosa)
6 Spot Roaches (Eublaberus Distanti)
Dubias (Blaptica Dubia)
There are pros and cons to each roach species. Which is one of the reasons I have decided to have several species. The other reason is for variety. In my opinion variety in diet is very important and often overlooked as part of reptiles care.
Basically though to sum things up lobsters are FAST producers and can easily keep up with many reptiles and larger reptiles. They are also a softer bodied roach and easily digested. There max size is about 1 1/4"- 1 1/2" so the adults can be fed off as well. However they are FAST and CAN climb smooth surfaces. Care must be taken during feeding time to prevent escapes. The hissers are just interesting in my opinion. They are one of the species I bought because I wanted variety and not to mention they can be interesting to observe. The con to them I would have to say is that their adult size seems to be a little too large for most bearded dragons. The 6 spots and dubias I bought because I was told they are among the quickest producing of the non climbing species and less spastic (calmer). The only con to them that I have noticed is that they seem to be taking a little longer to reach maturity (adulthood) then I would like. The lobsters I have had the longest and feel I am very aware of all their pros and cons. The other 3 species I have just recently acquired and I am still learning about them and still forming opinions on them.
Here are a few pics.

This is one of my lobster roach bins. It is a 95 quart rubbermaid container. This was when the bins werent so populated. Now each lobster bin has thousands and thousands of lobsters. I have to sell some occasionally to make room in the bins so they arent too crowded.

This is basically how I ventilate each rubbermaid. I have 7 (95 quart) rubbermaids at this time 

These are madagascar hissing roaches. They are still nymphs as you can see by their small size.

These ones are Eublaberus Distanti adults or 6 spot roaches. The nymphs look very different. They are dark in color w/ 6 small yellowish spots on their sides and no wings.
I cant find a good picture of the dubias. I will try and take one later for you! Well goodluck with your choice. Take care, Lindsay