mine is very picky.
won't eat most veggies I have tried.
loves frozen bloodworms, shrimp. freeze dried krill. Hikari Cichlid Gold pellets (trying to get him to eat Bio-Gold, but he thinks they are too small).
I don't like using live food, but have fed him worms a while back.
Just be cautious of using things your find. Clean off the dirt using a bowl with tank water in it ... and, most importantly, make sure you and your neighbors haven't been using pesticides, fertilizers, and the like. This is the biggest concern with feeding 'wild' food. Did that lizard eat a poisoned roach? Did that earthworm pass through tainted soil? Did that cricket eat from a fertilized plant?
Just be cautious.
Other than that, feed the O what it likes and will eat, while still trying to maintain some balance in there (fiber, vitamins, not too much protein)
A main staple of the diet should be a quality pellet, like Hikari Cichlid Gold. I always say Hikari brand, because they were unaffected by the pet food recall we had last year while other fish brands like HBH and others were. They add vitamins to even the bloodworms and other 'treats'. I have come to trust them after realizing that Oscar Grow by HBH had something poisonous in it (I always wondered why he didn't like it much) ... and from this site, found other big names like Omega One and New Life, had cheap preservative that can be harmful to fish.