I would avoid caterpillars (unless you know them very well), as some are very toxic or carry stinging hairs; same goes for brightly-colored beetles, moths, and bugs, as well as ants and wasps. Drab moths, flies, crickets, roaches, earthworms, leaches, grubs, etc. are usually fine. As the previous poster said, go easy on fish and mice; the bulk of the diet should be invertebrates.