Mealworms are higher in fat than crickets and roaches and are probably the third most common gecko food. When feeding, try to find the ones that recently moulted (look white in colour) as they are easier to digest because they have less hard exoskeleton at this time. But be careful because at least one of Australia's best reptile doctors warns to not feed more than 10% of the geckos diet as mealworms. Something about having too much fat I believe from memory.
You can feed a range of insects from the garden but some may have poison that you didn't know about (like lady beetles) and others have large mouthparts that could probably take toes off your levis in worst case scenario (thinking of a large locus mandibles). So for this reason plus the fact that your garden is open to disease which may be transferred to your reptiles via feed collecting is why I don't bother collecting bugs myself. My levis go 'nuts' for crickets.
hope this helps