Maybe yech to you, but yum to them!  Small to medium lizards are often insectivores, with the larger sometimes partial or total vegetarians.  Lizards are accustomed to eating whole animals.  Crickets are the best, with less shell or "chitin," which is indigestible.  Mealworms are good, but they have more chitin than crickets and can eventually block the gut.  You can also feed waxworms, butterworms, pinkies (for larger lizards), green and yellow vegetables as well as fruit.

Calcium is very important to the lizard diet.  Again, be sure to fully research the requirements of your specific lizard.  You can purchase calcium supplements, including a calcium powder that you can shake your crickets in before you place them in the tank.  If your lizard has a thin to normal body weight but his legs begin to look chubby, take him to the vet immediately.  This is a symptom of calcium deficiency, which can eventually kill your lizard.