Before I answer this, I will just admit that I probably have probably spent an unusual amount of time researching the nutritional content of insects
That said, the basic food for most people is mealworms. Ron Tremper, who is pretty much the godfather of captive leopard geckos, says he has rarely fed anything else in over 30 years. Mealworms are fairly high in fat, and the calcium:phosphorus ratio is terrible (~1:25). I haven't seen any reliable research that has defined the optimum calcium:phosphorus ratio for leos, and I have only recently started keeping them. But for an example, the optimum calcium:phosphorus ratio for a bearded dragon is 2:1, and most reptiles are somewhat similar, so basically, they are terrible feeder insects. I believe this is why most leopard gecko keepers say you need to keep a separate dish of calcium in with the animals as they need constant calcium, even more than dusting every worm, if this is their main food source.
Crickets are also used, and a better food source, more protein, less fat, and a better calcium:phosphorus ratio (~1:12). There are many other insects that can be fed. Silkworms seem to be good, they are very high in protein, calcium:phosphorus ~1:2.4. There is conflictive research on the amount of fat they have, but in my limited time working with leos, they almost seem to not have enough fat content, especially for breeding females. Superworms are used quite a bit, but are very high in fat, and can be used to to put weight on an animal. Butterworms are very good, with a high amount of calcium, though the exact ratio of calcium:phosphorus is unknown, as is the exact fat content. Phoenix worms would probably be the best feeder for leopard geckos, but so far in my experience, they just don't seem to like them. Waxworms are good treats for leos, but are very fatty, and many lizards can seem to get addicted to them and refuse other foods, kinda like a kid who would rather have a candy bar, and shouldn't be used as a staple in my opinion.
So long story short, mealworms are fine as long as constant calcium is provided and the worms are dusted. Crickets would be a better staple, but can be harder for some geckos to catch quickly, and personally, I don't like leaving them in the cage long term as there are some species of crickets going around now that can actually bite and injure an animal. Superworms can be used, but not as a primary feeder IMHO. They are very good for breeding females. Silks seem to be good, and would be a good choice for a gecko that is looking a little on the heavy side. the rest are mostly treats, though with one of the babies that I have and keep, I may see how they do with butterworms as a staple food.
