If smell is an issue, just go ahead and cross off crickets. They take a lot of space and while they smell isn't overpowering, it's downright unpleasant. I think people underestimate how much space and work it can take to keep a cricket colony going.

Dubias are awesome, but expect to spend a pretty penny if you want to start feeding from your colony right away. Red runners are another option, but are almost TOO prolific and suffer from the whole "box of cockroaches" issue in a way dubias do not. They're great feeders, though. If you can't do a roach species, I think Brian is right on track with the worms approach.