Roaches are the way to go, but as mentioned they must be cultured at home unless you know someone locally that will sell them to you in small quantities for a decent price. The good news is: they are EASY to culture, they don't stink like crickets, they are lower in fat/higher in protein, they won't bite your pets, and they don't make noise like crickets. The bad news: they are super creepy and are what nightmares are made of.

Roaches will still drown if they have nothing to hang onto, but they're not nearly as stupid as crickets. It seems like crickets actually want to drown sometimes. Unless they drown from having nothing to hold onto they will live through just about anything, unlike stupid crickets which are constantly dying for no apparent reason.

Mealworms are a terrible choice. They have tons of shell, very little meat, and very little nutrients. Mealworms = impaction/constipation waiting to happen

Here's a photo of one of my roach colonies: