When I had my oscar, he loved the silversides, shrimp, scallops, frozen fish, beefheart, earthworms, livefeeders, blanched zucchini, ...pretty much everything I feed him!
Just be sure to feed a variety to them, mine seemed to get bored with things if I feed to often. Be careful with live feeders I wouldn't feed them to much, more as a "treat" from time to time and be sure to quarantine them for about 2weeks before feeding them .
As far as insects from around the house, I wouldn't...you have no idea where they have been and what they have been exposed to.
Good luck with your O they are such fun fish to have!!!